The earliest quasi-sexual fantasy I can remember having was when I was maybe seven or eight years old. I loved the scenes in Saturday morning cartoons where the heroes got tied up and tortured. I'd fantasize about Ninja Turtles or Batman chained spreadeagle and shocked by the bad guys. I was also fascinated by a book of myths I had, which had stories like Loki chained in the underworld with burning poison dripping in his ear, or Prometheus on the rock with an eagle tearing his liver out. At the time I didn't think there was anything sexual about it. Just... fascinating to think about. Repeatedly. And somehow I knew I oughtn't share these thoughts with anyone else.
Of course, it also took me years to realize that when I touched myself in the place that made me feel good, that was masturbation. I knew what I did and I knew the word, it just took me forever to connect the two. "Well, sure I'm touching my vagina, and sure that's what masturbation is, but I'm not doing it like that, I'm just doing it because it feels good!"
I think I was about thirteen when I caught on.