Matrix theory is a proposed non-perturbative definition of superstring theory in which space is emergent. We begin a study of cosmology in the context of matrix theory. Specifically, we show that matrix theory can lead to an emergent non-singular cosmology which, at late times, can be described by an expanding phase of Standard Big Bang cosmology. The horizon problem of Standard Big Bang cosmology is automatically solved. We show that thermal fluctuations in the emergent phase source an approximately scale-invariant spectrum of cosmological perturbations and a scale-invariant spectrum of gravitational waves. Hence, it appears that matrix theory can lead to a successful scenario for the origin of perturbations responsible for the currently observed structure in the universe while providing a consistent UV-complete description.