If you mean short, filmed renditions of popular songs by their original artists, the first would be Spooney Melodies, the precursor to the Merrie Melodies/Looney Tunes cartoon series, by the Vitagraph Corporation (owned by Warner Bros.) in the 1920s, which were created to help Warner Bros. sell the records and sheet music to the songs in their regular feature films. That was the standard for years.
Then there were ”soundies,” little film clips that were shown at tableside jukeboxes at restaurants in the 1940s and as featurettes before the main film began at the cinemas, then there were similar films made for TV in the 50s, 60s and 70s (The Beatles did a few of those after they stopped touring in 1966 that were played on The Ed Sullivan Show). I personally remember staying up late on Saturday nights as a child in the mid-to-late 1970s to watch Don Kirshner’s Rock Concert and The Midnight Special and seeing music videos from Rod Stewart and the like.
Then Mike Nesmith (yes, that guy from the old pop band The Monkees who was tall and wore the green hat) created a show called Pop Clips in 1979 for the Nickelodeon children’s cable network. He had done a video for his own song “Rio” the year before that was very well received and then came up with the idea for Warner Bros. Records (them again!) to promote their recording artists. The idea was sold to Time Warner and they came up with MTV, which, as @AstroChuck said, the first video shown was Video Killed the Radio Star by the Buggles.
Actually, The Monkees, as a TV show in the late 60s, was also a step towards music videos, as there was always a “video” at the end of the show of the band acting silly, accompanied by one of their songs.