stored proc not coming in edmx while connecting with oracle

What do you mean First approach. Entity Framework is of three types, as what i know is 1. Code First Approach, Schema Approach, Model Approach. To know about these, refer below link http://csharp-video-tutorials.blogspot.com/2014/05/entity-framework-tutorial.html

The best way is to map project solution to the database and it will create a schema as which I wish you can use as .edmx. But if you say your using Code first approach make sure the database is created, and you actually had DBSet created in your DBContext.