A claim in an item in the Telegraph:
Alexander the Great is known to have enjoyed fox-hunting, as did the Persians and the Romans.
… which possibly comes from Wikipedia:
The earliest historical records of fox hunting come from the 4th century BC ; Alexander the Great is known to have hunted foxes and a seal dated from 350 BC depicts a Persian horseman in the process of spearing a fox. Xenophon, who viewed hunting as part of a cultured man’s education, advocated the killing of foxes as pests, as they distracted hounds from hares. The Romans were hunting foxes by 80 AD.
… which possibly comes from:
Macdonald, David (1987). Running with the Fox.
… which, alas, represents a dead end for me (I don’t have access to it). Whatever the case, I’d be very interested in knowing the source for Alexander’s fox hunting; I was also under the impression that Xenophon only suggested not allowing your hounds to hunt foxes (e.g. Cynegeticus 6). I’m also not sure why it appears to have taken the Romans so long to be fox hunting …