The most ancient beings are supposedly those races/beings that became or devolved from 'Gods'/'Daedra' (can Daedra be included in that word?) - the et'Ada - but it is interesting that the Nords do not seem to talk in terms of et'Ada, but rather name their 'Gods' and refer to them more as people. Offhand I can't think of any structures other than the first Tower that might be ascribed to the et'Ada.
I might have an explanation for that. Firstly, the Nordic national character would have them think of a Hero-God as a being that can be understood, interacted with, and learned from. A good amount of thier gods, both et'Ada and otherwise, like Ebon Arm or somebody, are as such spoken of as some being that isn't totally foreign, but in most all ways superior in strength or some particular ability to man.
Also, remember that the only full gamesworths of lore we have are Morrowind (Dunmer, AKA Aldmer-type culture) and Cyrodiil (Imperial, or High-Elf Lite culture, a butchering of Nordic and Ayleid religion used by Alessia to keep her Nordic allies while not forcing the assorted slave peoples to renounce thier Ayleid gods completely). Both Elven or semi-elven. We have as yet seen pretty much no full gamesworth of Lore for a human province or belief set (A fact which irks me greatly). As such we really only have an elven perspective on the way thibngs happened, and also lack a fuller knowledge of the ancient men.