It depends on what you consider "created by Disney." Here are a few contenders:
* Alice in Wonderland: This is the first character that Walt Disney himself animated in 1923. However, the character was originally created by Lewis Carroll in his novel.
* Oswald the Lucky Rabbit: In 1927, Disney created Oswald, who became a huge success. However, Disney lost the rights to the character to Universal Studios.
* Mickey Mouse: In 1928, Disney created Mickey Mouse (originally called Steamboat Willy) as a replacement for Oswald. This is arguably the most famous Disney character and the one most people would consider the "first."
So, depending on your definition of "created" and "first," the answer could be Alice, Oswald, or Mickey.