Evidence that the phrase was in use as early as 1936 is provided by a memoir written by Hughe Knatchbull-Hugessen who was the British Ambassador to China in 1936 and 1937. The memoir describes an instance of a friend of Knatchbull-Hugessen describing the phrase as a "Chinese curse" when discussing his departure to China.
Some years ago, in 1936, I had to write to a very dear and honored friend of mine, who has since died, Sir Austen Chamberlain, brother of the present Prime Minister, and I concluded my letter with a rather banal remark, "that we were living in an interesting age." Evidently he read the whole letter, because by return mail he wrote to me and concluded as follows: "Many years ago, I learned from one of our diplomats in China that one of the principal Chinese curses heaped upon an enemy is, 'May you live in an interesting age.'" "Surely", he said, "no age has been more fraught with insecurity than our own present time." That was three years ago.
The phrase is again described as a "Chinese curse" in 1943's "Child Study Association of America, Federation for Child Study (U.S.)".
A traditional Chinese idiom which seems to be similar but is "not quite right" is translated from ("寧為太平犬，不做亂世人") as: "It's better to be a dog in a peaceful time than be a man in a chaotic period."
It is speculated that the phrase is the first of three curses of increasing severity, all of which are seemingly positive statements. The other two statements are, among several alternatives with similar meanings (listed)::
^Bryan W. Van Norden. Introduction to Classical Chinese Philosophy. (Indianapolis: Hackett, 2011; ISBN 9781603844697), p. 53, sourcing Fred R. Shapiro, ed., The Yale Book of Quotations (New Haven: Yale University Press 2006), p. 669.