It's not true that the star of the morning is the brightest, because our brightest star is the sun. Of course, this is also the closest, but I think you wondered outside the sun which might be the closest star. Well, except for the day, the Alpha Centauri star is closest to us, just 4.2 light-years away. That means 270,000 times farther than our sun. It’s a very faint star anyway, so it’s not even visible to the naked eye. The star Proxima Centauri is located in the constellation Centaur.