Hi Sebastian,
What a great question!!
First Nations people were originally called "Indians" but many people found this to be inappropriate - because they are not really from India. Because the descendants (great great great grandparents!) of First Nation people were the first people to live on the land we call Canada, they decide "First Nations" was a better name.
Here's a better explanation and some more information about First Nation people and the many different "Nations" or groups of people within the First Nations - like Cree, Mohawk, etc.
https://www.aadnc-aandc.gc.ca/eng/1303134042666/1303134337338
http://firstpeoplesofcanada.com/index.html
Have fun learning!
Mrs. M.