S.W.
I started both my boys on cereal at 4 months. They both had healthy appetites and showed signs they were ready. With my oldest, we started veggies right before he was five months and then fruits about a month later. We went through all the veggies (starting with the oragne ones - sweet potato, squash, carrots) before starting fruits. My baby is only about 4.5 months old so we haven't started him on veggies yet, but he is doing great on cereal (we did oatmeal vs rice). We'll probably give him his first veggies in a week or so.
It depends on the child. Also, if your family has a history of food allergies, you might want to wait closer to 6 months.