The seemingly impossible task of finding the very first shot fired by Allied troops in World War I has begun, and the key to the mystery may be at the bottom of Port Phillip Bay in Melbourne.

As the nation marks Remembrance Day, historians say Australian gunners were the ones who fired the first shell at a German ship.

One hundred years on, the Anzac Centenary Commission is hoping it can salvage the six-inch explosive from the ocean floor.

Around noon on August 5, 1914, a gun crew stationed at Fort Nepean on the Mornington Peninsula fired across the bow of German cargo steamer SS Pfalz.

Local historian Keith Quitten says it was not as simple as point and shoot.

At the time, the Commonwealth government was based in Melbourne and such action had to be approved there.

"The commander at Fort Queenscliff was told there was a declaration of war," Mr Quitten said.

"The attorney-general got his lawyers to look up the legal details of how the shot was to be fired and informed the fort that it should be fired across the bow of the ship," he said.

"It was reputed they could cut the tow rope between the towing ship and the target with the first single shot fired from each of their six-inch guns."

Long-lost clues discovered in cardboard box

The press at the time got most of its information from the pilot of the German ship, who made most of it up.

That all changed last year with the discovery of a cardboard box full of military documents.

The shot had to be fired from the gun in the bay before the enemy ship got too close to Swan Island, which had a naval mine depot.

"However, if the shell missed the ship and landed there, there was a chance there could be an explosion in the mine depot itself, or a little further on that it could hit the township of Queenscliff."

But the crew did not get any instructions and the commander decided on his own volition to fire the gun.

The ship was halted and detained, making this not just the first event of World War I, but the first capture of a German asset.

It will be a mammoth task: Baillieu

Armed with a better idea of where to look, a recovery mission has been suggested as part of the Anzac centenary commemorations.

Former Victorian premier Ted Baillieu is heading up the Victorian Anzac Centenary Committee.

"The fact that the very first shot was fired in Victoria from Point Nepean, I think, underscores the depth of commitment Victorians made," Mr Baillieu said.

He added that finding a 100-year-old artillery shell at the bottom of a bay "will be a mammoth task".

"Of course it would be an extraordinary thing to locate and recover the shell. I don't think there is any doubt about that," he said.

"It would have to be intact. But it is not beyond the realm of possibility if the shell didn't explode and there is still a little bit of doubt about that."

Having spoken with specialist divers and historians, Mr Baillieu says any search would have to happen in the summer months.

Everyone agrees that finding a six-inch shell at the bottom of a sea bed is a long shot, but the temptation to give it a go is too great.

"It's an unlikely prospect but it is nevertheless and tantalising one," Mr Baillieu said.

"And were we to locate and recover the very first shell fired by the British empire in World War I, then I think that would be an international event," he said.