The answer to this popular riddle is a sewing needle. Sewing needles have small oval openings to put thread through; these are called eyes. Threading a needle is the act of putting thread through the eye of the needle.
In the New Testament of the Christian bible, a verse states: "It is easier for a camel to go through the eye of a needle, than for a rich man to enter into the kingdom of God." This scripture has evolved into common idioms that compare the difficulty of various tasks to the impossibility of putting a large animal through the eye of a needle.