Its REALLY hard for me to tell, figuring out the exact timeline is impossible.. Because I was very very young and have lots of memories playing games on various different platforms. No idea which i played first.
The first game i played must have been around 2001 - 2003 though.
We had lots of stuff, we had a Win95 PC, we had a Windows 3.1 laptop, and at some point I got a Gameboy Color.
The Win95 PC had newer games, and OLD ms-dos games on it. It also had UltraHLE on it.
So its not as simple as, whichever game is the oldest game.... that one must be it.
I might have played a game that released in 2001 first, and then a bunch of games from 1993.
Anyway my best guess is that its RedCat for MS-DOS.
But it could have also just as easily been, Doom 1, Zelda OOT on UltraHLE, or Pokemon Blue on my GameboyColor
I don't know when i got my GBC ...