On January 1, 2011, Shinee performed a concert at Olympic Gymnastics Arena in Seoul as a part of their tour, Shinee World. On January 2, 2011, before their repeat performance of their concert in Seoul, Shinee held a press conference. The group answered many questions related to their future plans; announcing that in March 2011 they will be debuting in Japan. The concert then continued at Taipei, Nanjing, Singapore, Nagoya, and Osaka throughout 2011. On January 25 and 26, 2011, the group participated in the Japan leg of SMTown Live '10 World Tour alongside their fellow labelmates at Yoyogi National Gymnasium in Tokyo, which also continued in two concerts in Paris at Zenith de Paris, three concerts in Tokyo at Tokyo Dome and at Madison Square Garden in New York City.
On May 16, 2011, EMI Music Japan revealed a teaser for the Japanese version of "Replay" through their official YouTube channel. The music video was released through the same channel on May 27, 2011. The single was released in Japan on June 22, 2011 and sold more than 91,000 copies in the first week. It was certified 'Gold' by RIAJ for selling over 100,000 copies in June 2011.
On June 19, 2011, Shinee made history by becoming the first Asian artists to perform at Abbey Road Studios in London, holding their Japan Debut Premium Reception there. On July 22, 2011, Shinee started their Japan Debut Premium Reception Tour. They performed at a number of concerts while touring various cities across Japan including Fukuoka on July 22, Kobe on July 23, Tokyo on July 27 and 28, Sapporo on August 8 and Nagoya on August 11, 2011.
On August 8, 2011, EMI Music Japan revealed the music video for the Japanese version of "Juliette" through their official YouTube channel. The single was released in Japan on August 28, 2011. On October 12, 2011, the group again released their third Japanese single "Lucifer" after the official music video for the single was released on EMI Music Japan's official YouTube channel on September 15, 2011.It was announced on Oricon's website that Shinee was the first foreign artist in the 44 year long history of Oricon ever to have three different singles released in Japan and all three of which ranked in top three on their weekly singles sales chart. These singles were their first three Japanese singles: "Replay", "Juliette" and "Lucifer".
On October 17, 2011, it was announced by EMI Music Japan that Shinee will be releasing their first Japanese studio album, The First on November 23, 2011. However, the Japanese release date was delayed to December 7, 2011. The album featured five new songs in addition to Japanese remakes of seven previously released Korean songs. The regular version of the album also featured the theme song of the drama Strangers 6, a track called "Stranger" as a bonus.
The group was invited to be the opening act of The 6th London Korean Film Festival, which took place at Odeon West End Theater on November 3, 2011. They also performed in their hour-long gala concert Shinee in London, the tickets for which sold out within a minute after going on sale at 1:00 pm on the October 27, 2011. This also marked the first time that any Korean artist(s) had held an independent concert in London.
On November 18, 2011, it was announced Onew, Key, and Taemin would release a book about their travels in Barcelona, Spain, becoming the first Korean idols to ever author a "vacation guide". They created a collection of their travels and titled their guide, Children of the Sun. The book was released on December 8, 2011. Shinee participated in 2011 Winter SMTown – The Warmest Gift album with the cover of the song "Last Christmas". The compilation album by SM artists was released on December 13, 2011.
Shinee held a commemorative live concert in honor of the successful release of their first Japanese album, The First, at the Tokyo International Forum Hall A on December 24, 2011. The live concert took place three times in order to accommodate the 15,000 fans that won a lottery to attend. They performed a total of six songs including their Japanese debut single, Replay (Kimi wa Boku no Everything) and Lucifer, as well as a new song in their album called To Your Heart. Shinee released a new concert photobook on December 26, 2011 with pictures from their Asia tour concert, Shinee The 1st Concert: Shinee World, along with behind-the-scenes, rehearsal, and waiting room photos, all amounting to a total of 192 pages. On December 28, 2011 Tower Records Japan announced that Shinee had won the 'Artist of the Year' award at the K-Pop Lovers! Awards 2011, beating out other K-Pop groups for the award.