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I understand closing eyes for prayer as something done as a matter of course by Western Christians, and possibly also by other religions practicing in the West and/or by Christians practicing elsewhere. (That said, I did read one thread that suggests that Orthodox Christians find it odd...)

My attempts at Googling this yield a frustratingly uniform plethora of threads on why this is done rather than on its origins.

The Bible has a few mentions of people "lifting up their eyes" to heaven when they pray, both Old and New Testament. It also mentions falling "face to the ground", which I guess might have given rise to the more convenient closing of eyes — who knows.

A few short articles I read and longer articles I skimmed discuss the history of prayer, but either focus on the theological significance of prayer or, if they do discuss posture, zero in on uplifted hands or falling prostrate, but don't seem to discuss closing eyes.

To get any further I guess I'd need to know something about researching history, or else ask here. :)

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    Waaaay back in the day of my childhood, when they forced me to go to church, i used those moments when everyone had their eyes (more or less) closed to secretly study facial expressions. And to realize that not everybody had their eyes closed. So this may just be a myth. But let's wait for someone who has been to church more recently ... :-)
    – user43870
    Apr 22, 2020 at 17:32
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    @a_donda: Can only speak for myself, but I find it almost impossible to concentrate on what I am hearing - as opposed to what I am seeing - unless I either close my eyes or am in darkness. Without that my brain is simply too busy seeing everything to actually hear. I expect this may be common amongst people who are primarily visual learners, like myself, rather than audio learners. So if we're talking and I close my eyes and look down, it's not that you're boring me or I'm sleeping - but that whatever you're saying is suddenly profound enough that I wish to actually hear and understand it.
    – Pieter Geerkens
    Apr 22, 2020 at 20:48
  • Didn't expect a discussion on this :-) How about lectures at university ? Both sides, lecturer and students, must watch and talk(1)/listen(rest), and take notes at the same time, at least those who follow. Underlain with video/slideshow/presentation, actively and passively. And i would expect them to be much more demanding to follow than a sermon, at least in the natural sciences and engineering (geoscience background here). But i don't insist or pretend that i'm right.
    – user43870
    Apr 22, 2020 at 20:58
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    @a_donda Interestingly, I find there are times in discussions or lectures or sermons where I would like to close my eyes and focus better, but I can't since it's culturally rude. (This is often the case if the thing I'm listening to is important yet not inherently engaging enough to override distracting stimuli.) At least, it would be rude here in North America. I have heard that in some other cultures it's polite to do the opposite, closing your eyes to show focus for the same reasons Pieter gives, but sadly this memory seems to have been reduced to a vague factoid in my mental database...
    – Luke Sawczak
    Apr 22, 2020 at 21:08
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    Oh, a good lecturer realizes if somebody is sleepy or focussing, no worries ! But there may of course be that point, where intense focussing and mental relaxation blend, the images in the mind start to freeze, the world retreats, the voice that was fascinating just a moment ago starts to become monotonous, ... but you know, in a small group, a good lecturer realizes even that :-) That's it from my side. Will wait for a good question i can answer with more expertise than just childhood reminiscences.
    – user43870
    Apr 22, 2020 at 21:33

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The headline question probably cannot be answered definitively because spiritual contemplation with closed eyes may very well predate written records.

Answering this question for Christianity specifically may also be a challenge, but it goes back pretty early. Aphrahat apparently wrote in the early 4th century:

As I urged you above, the moment you start praying, raise your heart upwards and turn your eyes downward. Enter inside your inner self and pray in secret to your heavenly Father.

You can see this article for a bit more discussion and analysis including a footnote on the source of that quote.

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