Although King Mu Wang, West Chou king, is reputed to be the earliest Silk Road traveler,(4th-5th century BC) it was Zhang Quan (Chang Ch'ien) who was credited with opening the Silk Road.

Zhang Qian (Chang Ch'ien). Chinese general and envoy on a mission from the Han Emperor Wudi to recruit the Yueh-chih people to form an alliance against the Xiongnu.
First trip (138-125BC) skirted the Taklamakan desert via the northern route, passed the Pamir, then reached Ferghana. Returned via the southern route.

His second trip (119-115BC), a mission to seek alliance with Wu-sun people, took him to Dunhuang, Loulan, Kucha, then the capital of Wu-sun kingdom in the Ili river.
His missions to the west led to the formalization of trade, especially the silk trade, between China and Persia.

Read more about his amazing Adventure.