Can "Mr", "Mrs", etc. be used with a first name?
This is very common and proper in the southern United States. It is most often used by children speaking to adults they know well such as neighbors, friends' parents, more casual teachers, etc. Usually the adult will signal his or her preference on how to be addressed. Sometimes an adult (for example some teachers) will introduce themselves as Mr/Ms last name instead, which is also fine and wouldn't usually raise eyebrows.
It's also not uncommon for adults to use this construction between themselves. I've seen it when there's an age difference or a social status difference, but when using Mr/Ms last name would be too formal and distant sounding. Eg you see the elderly lady that's lived next door for years across the fence and say "Hi Ms. Diana!" Eg the younger person behind the register at the grocery you always go to says "see you next week Mr. Bob".
As Mr. England's post indicates, common usage dictates the rules, not the other way around. And in the South, this is very common and accepted. It can be a bit rude (or at least stiff and standoffish) not to use this construction if the adult being addressed prefers the first name.
Full disclosure: I grew up in southern Louisiana, but from what I've seen and heard, this is common to much of the southern US.
We get into all sorts of difficulties when we consider whether this or that word or expression or construction is 'correct'. It's much more helpful to consider whether it's used, how widely and on what occasions. The address Mr John Smith is certainly found, but I take it your question is about whether it's possible to say or write Mr John. The answer to that is that it all depends. I can think of no circumstances in which I would do so myself, but I have been addressed as 'Mr Barrie', by those whose first language wasn't English.
Perhaps we could help you more if you said where you have seen or heard Mr or Mrs + first name.
EDIT:
The OED defines Mr (my emphasis) as:
A title prefixed to the surname or first name of a man without a higher, honorific, or professional title, or to any of various designations of office .
The OED also reminds us that:
In 19th century use, when Miss was prefixed to the surname alone, e.g. Miss Smith, it normally indicated the eldest (unmarried) daughter of the family; in referring to the others the forename was employed, e.g. Miss Ethel (Smith).
Mrs is not recorded as ever having been followed by a given name.
Short answer: no. I teach English in Poland and I hear this all the time as it is L2 interference from the Polish use of "Pan [first name]". No native speaker teacher of my acquaintance would accept "Mr John" as being correct and I don't either and I have never heard a native speaker say this (British English).