In THE PREHISTORY OF THE FEMME FORMIDABLE IN POP CULTURE, I wrote:
Wilma’s prose advent marks a turning point in the development of the pop-cultural archetype of the femme formidable: the “fighting femme formidable.” I don’t suppose that Wilma was the first of her kind, but she seems to be the first to have garnered some measure of lasting fame...
Wilma Deering was the first woman who was portrayed as consistently kickass, though usually she fought with a gun rather than fists and feet. However, the first kickass female with her own series who PRIMARILY depended on her physical skills was certainly Sheena, Queen of the Jungle. She debuted in 1937, about a year before the appearance of Superman, in the first issue of the British tabloid WAGS. The character's debut story was then reprinted in the first issue of the American comic book JUMBO COMICS, about three or four months after Superman showed his cape in ACTION COMICS #1. Her general history is aptly covered in this online essay.
The character's genesis has been credited (though this has been disputed) to the comics-team who packaged the material for WAGS and for many American comics thereafter: Will Eisner and J.M. Iger. Thematically, Eisner does seem like a likely creator, since his SPIRIT series hosts dozens of tantalizing femmes formidables. However, most of his own works emphasize male characters as the stars, so it may be that his influence in launching the strip was largely as a facillitator. The basic concept of the series seems to owe something not just to Tarzan but to the 1931 film TRADER HORN, which featued a white woman raised to be the queen of a black African tribe.
Many have claimed that the main reason for Sheena's popularity was her extreme hotness as she ran around the jungle beating up unruly natives. There's no way this can be proven or disproven, but the Sheena stories were also better drawn and written, in terms of pulp virtues, than an awful lot of product in that period. Thanks to her media-adaptations, the first female "superhero" remains reasonably well known long after her comic book's demise.