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In Dog Soldiers (2002), there is a scene at the beginning where a character is told to shoot and kill a dog to show his allegiance and loyalty to a commanding officer.

A similar thing also happened in Game of Thrones, and I know I've seen it in at least one more thing before this, but I'm not recalling it right now. Where did this trope first come from? What movie or book was the first to do it?

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It may derive from urban legends/propaganda

There are urban legends and probably state- or group-sponsored propaganda swirling around about various military units. Some claim that trainees for these units must raise a puppy through basic training and then kill it to graduate their training. Others are more extreme, such as one about US Marines having to kill a family member to get into the Marine Corps. I have personally heard this urban legend applied to Russian Special Forces and the Iranian Republican Guard Corps. I have never seen any evidence to indicate that this actually occurs anywhere, and the Snopes article I link to debunks the one about Marines and others. It seems to be one of those lies people tell in order to dehumanize or demonize whatever group of military personnel they wish to defame. Screenwriters like to put sensational things in their movies and urban legends are often sensational, so it's little wonder why falsehoods like these can become tropes for the entertainment industry.

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