Broccoli was the first food we introduced to our four and a half month old, long before the recommended guidelines of 6 months. We did it thinking it would entertain him and help him practice holding objects, not thinking he'd really ingest much. Turns out he loved it, sucked and swallowed most of the little green tips off the broccoli and it was very easy for him to hold.
We lightly steamed it and let it cool before giving it to him. We also took care to remove any really loose small stems from the sides so he wouldn't suck in an entire stem.
Note that broccoli is known to be difficult to digest, and in the past was recommended to introduce later, around 8-9 months so keep an eye out to see if it upsets your baby's belly if you introduce it early.
The video below is of Wyatt enjoying broccoli for the first time at 4 and a half months old.