Most people would say The Wizard of Oz or Gone With The Wind, both from 1939.
However, pre-dating those classics by more than 20 years was a 1918 silent film called "Cupid Angling". This is the accepted 'first' colour feature-length film, and is also the oldest listed on IMDB as colour. IMDB also has heaps of colour shorts which predate even this, the earliest listed is from 1902. The actual first filming process was called Kinemacolour, and was invented in 1908 by a Brit named Charles Urban. The more well-known Technicolor corporation was founded in 1918. Prior to 1908, the 'colour' movies produced were with hand-tinted frames painted by colour artists.| .