echo \\* - bash backslash escape behavior, is it evaluated backwards?

If you don't have a file in the current directory whose name starts with a backslash, this is expected behaviour. Bash expands * to match any existing file names, but:

If the pattern does not match any existing filenames or pathnames, the pattern string shall be left unchanged.

Because there was no filename starting with \, the pattern was left as-is and echo is given the argument \*. This behaviour is often confusing, and some other shells, such as zsh, do not have it. You can change it in Bash using shopt -o failglob, which will then give an error as zsh does and help you diagnose the problem instead of misbehaving.

The * and ? pattern characters can appear anywhere in the word, and characters before and after are matched literally. That is why echo \\* and echo \\ * give such different output: the first matches anything that starts with \ (and fails) and the second outputs a \, and then all filenames.

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The most straightforward way of getting the output you want safely is probably to use printf:

printf '\\'; printf "%s " *

echo * is unsafe in the case of unusual filenames with - or \ in them in any case.