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According to the official report, the first case of COVID-19 and the first death in the United States occurred on January 20 and February 29, 2020, respectively. On April 21, California reported that the first death in the state occurred on February 6, implying that community spreading of COVID-19 might have started earlier than previously thought. Exactly what is time ZERO, i.e., when did COVID-19 emerge and begin to spread in the US and other countries? We develop a comprehensive predictive modeling framework to address this question. Using available data of confirmed infections to obtain the optimal values of the key parameters, we validate the model and demonstrate its predictive power. We then carry out an inverse inference analysis to determine time ZERO for ten representative States in the US, plus New York city, UK, Italy, and Spain. The main finding is that, in both the US and Europe, COVID-19 started around the new year day.