Considering that the DNA needs enzymes, to be formed, however enzymes need DNA to be formed too. What biomolecule was created first?
If one is scientifically rigorous, the answer to this question is:
If one accepts the most commonly accepted (although not proven) view of the evolution of genomes and catalysis, the answer is:
The ‘RNA world’ hypothesis, mentioned by @vkehayas, postulates that the first genome was RNA, not DNA, and the first enzymes were also RNA. DNA genomes arose later (as did protein enzymes, although the timing of that event is irrelevant to the question as originally written).
If one was not aware that RNA is thought to have preceded DNA as genome, and had not been aware of catalytic RNA, then one might have asked:
Which came first, RNA or protein?
And in fact, this question was originally asked by Francis Crick in the restricted context of the synthesis of proteins by ribosomes on mRNA and led him to remark.
“It is thus not impossible to imagine that the primitive machinery had no protein at all and consisted entirely of RNA.”
The later discovery of catalytic RNA provided a mechanistic basis for an original world in which RNA was a self-replicating genome.
(So the answer to the alternative question is that ‘RNA’ preceded protein.)
I have kept this answer brief and only provide a single general reference because @vkehayas provides links to other questions about this topic on this list.