Well, first proper film or first surviving film, take your pick. It's a 16mm thriller short entitled INTRUSION. Made in 1961, when Reeves was only 17 or 18, it's a remake of an earlier (lost) 8mm project called CARRION and features Ian Ogilvy, Reeves himself (acting as "Martin Reade"), Sara Dunlop and some of their friends. Photographed by WITCHFINDER GENERAL cameraman Tom Baker, it runs just under 10 minutes and, until now, it has been just about impossible for Reeves' fans to see. But now, thanks to the generosity of Reeves' biographer Benjamin Halligan (whose excellent book can be found here), you can see INTRUSION here on David Cairns' blog Shadowplay.
Thanks to David for alerting me and for sharing with the rest of us.