This phrase identifies the God of Israel, or Jehovah, as none other than the pre-mortal Jesus Christ. This fundamental truth can be proven by a careful study of the first chapter of Revelation:
I saw….one like unto the Son of man, clothed with a garment down to the foot, and girt about the paps with a golden girdle.
His head and his hairs were white like wool, as white as snow; and his eyes were as a flame of fire….
And when I saw him, I fell at his feet as dead. And he laid his right hand upon me, saying unto me, Fear not; I am the first and the last:
I am he that liveth, and was dead; and, behold, I am alive for evermore (Rev 1: 12-18)
The term, "first and the last," has reference to the eternal nature of Jehovah and to the endlessness of His powers.
Bruce R. McConkie
"Christ is the First and the Last. (D. & C. 110:4; Isa. 41:4; 44:6; 48:12; Rev. 1:8-17; 2:8; 22:13.) These terms are descriptive of his eternal timelessness; he is God everlastingly. As the First, the thought is conveyed that he is pre-eminent above all the earth's inhabitants, both from the standpoint of time (he being the Firstborn in the spirit), and from the standpoint of power and dominion (he having become a God in the beginning). As the Last, the concept is revealed that he will go on as God, continuing to enjoy his full pre-eminence, to all eternity, everlastingly without end." (Mormon Doctrine, p 281)