Apparently, in 1939, photographer Arthur Griffin met rookie Ted Williams at Fenway Park and took several photos with Kodak's new color film.
https://griffinmuseum.org/ted-willia...rthur-griffin/
Here are some of the photos that I have acquired over the years from that photo shoot. I don't know if they are the first color photos, but they are pretty early images given that Kodak had just come out with commercially available color film.