Mathematical problems related to the traveling salesman problem were treated in the 1800s by the Irish mathematician Sir William Rowan Hamilton and by the British mathematician Thomas Penyngton Kirkman. The picture below is a photograph of Hamilton's Icosian Game that requires players to complete tours through the 20 points using only the specified connections.  A nice discussion of the early work of Hamilton and Kirkman can be found in the book Graph Theory 1736-1936 by N. L. Biggs, E. K. LLoyd, and R. J. Wilson, Clarendon Press, Oxford, 1976.

The general form of the TSP appears to be have been first studied by mathematicians starting in the 1930s by Karl Menger in Vienna and Harvard. The problem was later promoted by Hassler Whitney and Merrill Flood at Princeton.  A detailed treatment of the connection between Menger and Whitney, and the growth of the TSP as a topic of study can be found in Alexander Schrijver's paper ``On the history of combinatorial optimization (till 1960)''.

Hamilton's Icosian Game