What was the first record that all four members of Led Zeppelin recorded on together? Here’s a hint. It was NOT Led Zeppelin 1. The answer is… PJ Proby’s Three Week Hero. Before Zeppelin was Zeppelin, the New Yardbirds had some pre-existing obligations to fulfill, including Jimmy Page’s session work with Proby. Sessions for Three Week Hero started in early September of 1968 at Olympic Studios in London, a week or two before Zeppelin started recording their debut at the same studio. John Bonham, Robert Plant, and John Paul Jones joined Page, and all four contributed to a handful of songs on Proby’s album, securing its place in Led Zeppelin’s history.