Does the Father have a Father? The Heavenly Father has a Heavenly Father before Him.

Prophet Joseph Smith clearly taught that God the Father has a Father whom He followed as Jesus had followed His Father in order to become a god (Fielding Smith, The Teachings of the Prophet Joseph Smith [1977], 373). Apostle Orson Pratt said, "We were begotten by our Father in Heaven ; the person of our Father in Heaven was begotten on a previous heavenly world by His Father; and again, He was begotten by a still more ancient Father and so on, from generation to generation, from one heavenly world to another still more ancient. ...But why does man seek for a first, when revelation informs him that God's works are without beginning? ...[W]hy, then, do you seek for a first personal Father in an endless genealogy ? or for a first effect in an endless succession of effects?" (The Seer, 132).
There was no Heavenly Father before the Father, Son, and Holy Spirit.

There is no other God before God. He is not so weak that He needed to serve and receive counsel from some other God in order to become God; He always was God (Ps. 90:2; Isa. 40:12-26; 43:10; and Rom. 11:33-6).

Atheists believe in an infinite regress of cause and effects also.