The statement that is TRUE about the first Olympics is:
It took place in Athens, Greece.
The first modern Olympic Games were held in Athens in 1896. However, the ancient Olympic Games began in Olympia, Greece, in 776 BC, but the options provided seem to refer to the modern Olympics, which indeed took place in Athens.
The other options regarding sponsorship by the YMCA, the timing during the Industrial Revolution, and inclusion of women's sports are not accurate regarding the first modern Olympics. Women's events were not included in the Olympic Games until 1900.