diff --git a/esphome/components/sensor/__init__.py b/esphome/components/sensor/__init__.py
index 577596f6ce..65ae7b2168 100644
--- a/esphome/components/sensor/__init__.py
+++ b/esphome/components/sensor/__init__.py
@@ -408,18 +408,30 @@ async def sliding_window_moving_average_filter_to_code(config, filter_id):
     )
 
 
-@FILTER_REGISTRY.register(
-    "exponential_moving_average",
-    ExponentialMovingAverageFilter,
+EXPONENTIAL_AVERAGE_SCHEMA = cv.All(
     cv.Schema(
         {
             cv.Optional(CONF_ALPHA, default=0.1): cv.positive_float,
             cv.Optional(CONF_SEND_EVERY, default=15): cv.positive_not_null_int,
+            cv.Optional(CONF_SEND_FIRST_AT, default=1): cv.positive_not_null_int,
         }
     ),
+    validate_send_first_at,
+)
+
+
+@FILTER_REGISTRY.register(
+    "exponential_moving_average",
+    ExponentialMovingAverageFilter,
+    EXPONENTIAL_AVERAGE_SCHEMA,
 )
 async def exponential_moving_average_filter_to_code(config, filter_id):
-    return cg.new_Pvariable(filter_id, config[CONF_ALPHA], config[CONF_SEND_EVERY])
+    return cg.new_Pvariable(
+        filter_id,
+        config[CONF_ALPHA],
+        config[CONF_SEND_EVERY],
+        config[CONF_SEND_FIRST_AT],
+    )
 
 
 @FILTER_REGISTRY.register(
diff --git a/esphome/components/sensor/filter.cpp b/esphome/components/sensor/filter.cpp
index 49d2c648b0..d4a7a52fa1 100644
--- a/esphome/components/sensor/filter.cpp
+++ b/esphome/components/sensor/filter.cpp
@@ -200,8 +200,8 @@ optional<float> SlidingWindowMovingAverageFilter::new_value(float value) {
 }
 
 // ExponentialMovingAverageFilter
-ExponentialMovingAverageFilter::ExponentialMovingAverageFilter(float alpha, size_t send_every)
-    : send_every_(send_every), send_at_(send_every - 1), alpha_(alpha) {}
+ExponentialMovingAverageFilter::ExponentialMovingAverageFilter(float alpha, size_t send_every, size_t send_first_at)
+    : send_every_(send_every), send_at_(send_every - send_first_at), alpha_(alpha) {}
 optional<float> ExponentialMovingAverageFilter::new_value(float value) {
   if (!std::isnan(value)) {
     if (this->first_value_) {
diff --git a/esphome/components/sensor/filter.h b/esphome/components/sensor/filter.h
index 0ed7ce4801..a39c1ba25a 100644
--- a/esphome/components/sensor/filter.h
+++ b/esphome/components/sensor/filter.h
@@ -194,7 +194,7 @@ class SlidingWindowMovingAverageFilter : public Filter {
  */
 class ExponentialMovingAverageFilter : public Filter {
  public:
-  ExponentialMovingAverageFilter(float alpha, size_t send_every);
+  ExponentialMovingAverageFilter(float alpha, size_t send_every, size_t send_first_at);
 
   optional<float> new_value(float value) override;
 
diff --git a/tests/test1.yaml b/tests/test1.yaml
index 0d8ba9dfe8..496226565a 100644
--- a/tests/test1.yaml
+++ b/tests/test1.yaml
@@ -358,6 +358,7 @@ sensor:
       - exponential_moving_average:
           alpha: 0.1
           send_every: 15
+          send_first_at: 15
       - throttle_average: 60s
       - throttle: 1s
       - heartbeat: 5s