Yeah, “O.K.” came first, “okay” was later. It has a weird history. According to the American Heritage Dictionary:

During the 1830s there was a humoristic fashion in Boston newspapers to reduce a phrase to initials and supply an explanation in parentheses. Sometimes the abbreviations were misspelled to add to the humor. OK was used in March 1839 as an abbreviation for all correct, the joke being that neither the O nor the K was correct. Originally spelled with periods, this term outlived most similar abbreviations owing to its use in President Martin Van Buren’s 1840 campaign for reelection. Because he was born in Kinderhook, New York, Van Buren was nicknamed Old Kinderhook, and the abbreviation proved eminently suitable for political slogans.