Until relatively recently, many people wore skullcaps. It was declasse to go around bare headed. As long as that was the situation, no one noticed that Jews were wearing them as well. So really the “yarmulke” as we call it was invented (okay, “noticed” as something Jewish) around the end of the 18th century when most goyim stopped wearing them.
If you question is really when did Jewish start covering their heads, the real question is when secular Jews starting uncovering there heads as a sign of lack of piety, and the answer is late 18th century (before that, going bare headed might so their rejection of social conventions, but not their rejection of Jewishness).