There have been many characters who have travelled through time but who was the first? Off the top of my head, I can only think of Ebenezer Scrooge and his 3 ghostly visitors. I'm not even sure that they qualify.
According to this Wikipedia list of time travel in science fiction writing, film & tv, the 1949 adaption of A Connecticut Yankee in King Arthur's Court is the first example of time travel in a film or tv sci-fi work. I can't speak to the completeness of the list.
Interestingly, that list categorizes Charles Dicken's 1843 A Christmas Carol as sci-fi and includes the 2009 film adaptation in the film list. Based on the Wikipedia entry for the first film adaption, Scrooge, or, Marley's Ghost (1901), I don't believe the characters traveled through time in that particular adaptation:
Like the play, the film dispenses with the different ghosts that visit Scrooge, instead relying upon the figure of Jacob Marley, draped in a white sheet, to point out the error of Scrooge's ways.
Scrooge is visited by three more spirits, who show him his past, the present, and the future that awaits him.
It's unclear if the spirits showed Scrooge visions in the present or if Scrooge actually travelled through time with the ghosts.
This IMDB search gives you all films which have
time-travel in their plot keywords, sorted by year, ascending.
The following are the first elements of the list:
- The Ghost of Slumber Mountain (1918)
- A Connecticut Yankee in King Arthur's Court (1921)
- Felix Trifles with Time (1925)