It is difficult to document many "firsts" in film because approximately 75% of silent films are now lost.
There are a lot of examples of actors playing multiple roles in the same film. The practice was quite common in silent films, especially in short comedies where the studios did not have a big stock company and actors could change their makeup and costume to be a different supporting player.
But if you are looking for actors who were the star of a film playing multiple roles, here is a partial list. Most of these used double-exposures to have both characters appear onscreen at the same time, but usually for just a few shots. Quite a few of these films were commercial blockbusters.
- George Méliès made hundreds of short films starting in 1896. Many are lost but Johnny Bones' suggestion of THE FOUR TROUBLESOME HEADS (1898) is probably one of the earliest.
- Lon Chaney, Sr. plays the villain Black Mike Sylva and a wise Chinese man Ah Wing in OUTSIDE THE LAW (1920).
- Rudolph Valentino played Ahmed and his father "The Sheik" in SON OF THE SHEIK (1926).
- William Farnum played by both Charles Darnay & Sydney Carton in Dickens' A TALE OF TWO CITIES (1917).
- Mary Pickford played the rich Stella and and the poor Unity Blake in STELLA MARIS (1918). Mary Philbin did in the 1925 remake.
- Douglas Fairbanks played both Don Q and his father Zorro in SON Q, SON OF ZORRO (1926). They fight the bad guys side-by-side in one scene.
- Brigitte Helm plays Maria and the Robot in METROPOLIS (1927).
- Constance Talmadge plays Helen Weyringer and her sister in HER SISTER FROM PARIS (1926).
- Buster Keaton probably wins the records for playing the most parts in one film. In THE PLAYHOUSE (1922) he plays all the members of an orchestra, a stage show, and the audience.
Excerpt from THE PLAYHOUSE
- Norma Shearer plays Molly Helmer and Florence Banning in LADY OF THE NIGHT (1925).
- Lew Cody played twin brothers in ADAM AND EVIL (1927).
- Lupino Lane played 24 roles in the comedy short ONLY ME (1929), and he was the only actor in the film.
- Doug Fairbanks played Ned Thacker and D'Artagnan in A MODERN MUSKETEER (1917).
- Nazomova plays Mahlee & Blanche Sackville in THE RED LANTERN (1919).
- Paul Wegener played the title role and his doppelganger in THE STUDENT OF PRAGUE (1913). Conrad Veidt did the same thing in the 1926 remake.
- Lewis Stone as Rudolf Rassendyll and King Rudolf in THE PRISONER OF ZENDA (1921). James K. Hackett did the same in the 1913 version. Ronald Colman did in the 1937 talkie remake.
- Josephine Earle plays a mother and daughter in the British film BRANDED (1920).
- Mary Pickford plays a little boy and an aging widow in LITTLE LORD FAUNTLEROY (1921). She even gives herself a kiss!
- King Baggott played 10 different parts in SHADOWS.
- Stan Laurel and Oliver Hardy played themselves and their brothers Alf and Bert in the sound film OUR RELATIONS (1936).
- William S. Hart plays Ben Trego, Three Word Brand, and Governor Marsden in THREE WORD BRAND (1921).
- In the French comedy short UN IDIOT QUI SE CROIT MAX LINDER (1915), Max Linder plays himself and a bad actor who impersonates Max Linder.
I'm sure that there are many more examples.
