According to de Bruijn (1977), "We do not know when and in what context he [Baudet] stated his conjecture and what partial results he had," although van der Waerden (1971, 1998) indicates he first heard of the problem in 1926.
de Bruijn, N. G. "Commentary." Unpublished manuscript, pp. 116-124, 1977. http://alexandria.tue.nl/repository/freearticles/598841.pdf.van
der Waerden, B. L. "Beweis einer Baudetschen Vermutung." Nieuw
Arch. Wisk.15, 212-216, 1927.van der Waerden, B. L.
"How the Proof of Baudet's Conjecture Was Found." Studies in Pure Mathematics
(Presented to Richard Rado). London: Academic Press, pp. 251-260, 1971.van
der Waerden, B. L. "Wie der Beweis der Vermutung von Baudet gefunden wurde."
Elem. Math.53, 139-148, 1998.