How modify Yii2 pagination in GridView widget to show first and last pages?

If you are using Bootstrap 4.x.x

'container' => [
   'definitions' => [
        \yii\widgets\LinkPager::class => \yii\bootstrap4\LinkPager::class,
        'yii\bootstrap4\LinkPager' => [
            'firstPageLabel' => 'First',
            'lastPageLabel'  => 'Last'
      ]
   ],
],

Note since Yii2 version 2.0.11, you can set firstPageLabel and lastPageLabel defaults for the whole application using container definitions in your config/main.php file:

$config = [

    ....

    'container' => [
        'definitions' => [
            'yii\widgets\LinkPager' => [
                'firstPageLabel' => 'First',
                'lastPageLabel'  => 'Last'
            ]
        ]
    ]
];

Learn more at http://www.yiiframework.com/doc-2.0/guide-concept-configurations.html#application-configurations

<?= GridView::widget([
    'pager' => [
        'firstPageLabel' => 'First',
        'lastPageLabel'  => 'Last'
    ],
    ...
]) ?>

You need to specify $firstPageLabel and $lastPageLabel properties of LinkPager (they are false by default meaning these links are not shown) . You can pass it to GridView like that:

<?= GridView::widget([
    ...
    'pager' => [
        'firstPageLabel' => 'First',
        'lastPageLabel' => 'Last',
    ],
    ...
]) ?>

For styling there are two additional properties: $firstPageCssClass and $lastPageCssClass.

Note that you can apply this to LinkPager separately, without using GridView.