Technically:
* The first comic book character published by Timely Comics (Marvel's predecessor) was "The Human Torch" in 1939. This was an android character, not the later, more famous, Human Torch who is part of the Fantastic Four.
* The first superhero published by Timely was "Captain America" in 1941.
However:
* Marvel often points to "The Sub-Mariner" as the company's "first major character" and their "first recurring character." He debuted in 1939, but in a different comic book series than the Human Torch.
Ultimately, the answer depends on what you're looking for. The Human Torch was the very first, but Captain America is arguably the more significant. The Sub-Mariner, however, is the one Marvel itself often claims as its first major character.