The Sloan Digital Sky Survey (SDSS) started a new phase in 2008 August, with new instrumentation and new surveys focused on Galactic structure and chemical evolution, measurements of the baryon oscillation feature in the clustering of galaxies and the quasar Lyα forest, and a radial velocity search for planets around ~8000 stars. This paper describes the first data release of SDSS-III (and the eighth counting from the beginning of the SDSS). The release includes five-band imaging of roughly 5200 deg2 in the southern Galactic cap, bringing the total footprint of the SDSS imaging to 14,555 deg2, or over a third of the Celestial Sphere. All the imaging data have been reprocessed with an improved sky-subtraction algorithm and a final, self-consistent photometric recalibration and flat-field determination. This release also includes all data from the second phase of the Sloan Extension for Galactic Understanding and Exploration (SEGUE-2), consisting of spectroscopy of approximately 118,000 stars at both high and low Galactic latitudes. All the more than half a million stellar spectra obtained with the SDSS spectrograph have been reprocessed through an improved stellar parameter pipeline, which has better determination of metallicity for high-metallicity stars.