The problem with naming the first movie is that the definition of 'movie' keeps changing. If it were to mean merely a collection of pictures, obviously fragmented but still depicting motion, the answer would be completely different than what we would get if a movie were to be defined as a full-fledged leviathan of smooth graphics, booming sound, and fantastic color.
The First Ever
Roundhay Garden Scene is the oldest 'movie' in existence. It was made by inventor Louis Le Prince, and was shot in the year 1888. At 12 frames per second, it ran for just two seconds.
This movie was shot in the garden of the Whitley family house, in Oakwood Grange Road, Roundhay. Featuring Le Prince's son, Adolf, Joseph Whitley, Sarah Whitley, and Miss Harriet Hartley, it shows all of them laughing and enjoying themselves in the garden. It wouldn't be wrong to state that the English film industry has its roots from the Oakwood Grange Road garden!
The First in Color
The first movie with color was A Visit to the Seaside, shot in 1908. This movie, shot in the UK, was the first movie in natural color, and was filmed with Kinemacolor, the first motion picture color process. It features people from Brighton doing various activities, and runs for 8 minutes. It was directed by George Albert Smith.
A second debated entry is With Our King and Queen Through India, shot in 1912. This movie was a silent film, released on Feb 2, 1912, and was a British Documentary. showing celebrations in India. While the original film was approximately six hours long, the surviving prints are approximately 3 hours.
First Movie With Sound
Well, we have The Jazz Singer topping this list, which was released in the year 1927. The title makes it obvious that this was a musical with synchronized dialog sequences, and was based on a play by Samson Raphaelson. The world saw a rapid decline in silent films when The Jazz Singer hit the screens as the first talkie. This movie was produced by none other than Warner Bros., and starred Al Jolson. It was directed by Alan Crosland.
These were the significant 'firsts' in the history of cinema. These humble efforts paved the way for the industry to become the behemoth it is today.