The first yoghurt was infected with bacteria either from the air or any of the surfaces it came into contact with. And it was not pasteurized like modern yoghurt production requires so the bacteria were not killed. It is still possible to make yoghurt the same way but it will take a lot longer to make it the first time due to the low number of initial bacteria, and you have no control over which bacteria infects the yoghurt so you have no control over the taste, or even if it is drinkable.
It is much more popular to do this when making bread. This is how a sourdough starter is made. But in this case there is a much higher chance of success then with yoghurt. You also have naturally fermented beer and wine which are also made the same way but typically require specific conditions for a high chance of success.
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