In recent years, there has been the increasing interest in the research on the consensus of multi-agent systems because of the need of application and the development of technology. In communication networks and engineering applications, due to signal propagation delays, time delay may exist in the consensus state of systems. In this paper, a concept on delay consensus is first defined, and then the problem of first-order delay consensus in leader-following multi-agent systems is discussed. By designing an appropriate control protocol and using the graph theory, matrix theory and Lyapunov stability theory, a sufficient condition is given to realize delay consensus of the multi-agent systems. Numerical simulations are given to verify the theoretical results.