Many early American millionaire women like Hetty Green or Rebecca Lukens - even if they did eventually make large sums of money on their own - started out with a fortune from birth or marriage.
A candidate for first “self-made” might be religious leader Mary Baker Eddy, whose estate was valued at 2 or 3 million at the time of her death in 1910, and likely hit the million mark sometime in the late 1800s.
Any before that?
Shirley Temple?
Not quite before Ms. Eddy, but nearly contemporaneous with her was “Madame” C. J. Walker who built a fortune on hair care products for blacks.
Shirley Temple?!
The biggest thing standing in the way of Mme. Walker’s claim is that she didn’t start her hair care company until 1906, by which time Ms. Eddy would have probably already topped a million, even if she may not have been the very first to do so.
This is really funny.
I had my hair cut last week before I took the test for Who Wants to Be a Millionaire (I passed the test but havn’t heard yet if I passed the interview)
Anyway, the lady who cut my hair started giving me trivia questions including “Who was the first woman millionaire?”
She claimed it was Ms. Walker. She had learned that in her women’s study class.
I have no outside verification of this.
I think Oprah might be the 1st self made female billionaire - if not she’s really close to having that much.
Lydia Pinkham, 19th-century purveyor of a popular “vegetable compound” home medicine, might qualify, but I haven’t been able to quickly find a confirmation of her wealth. The medicine was popular perhaps in part to its high alcohol content. She and her staff in Lynn, MA, answered so many letters from women that they also may have qualified as the first national advice columnists.
A couple of other Google summaries say that Madame Walker was the first female US millionaire, black or white.
Here is Oprah’s 2002 rank. She is a bit below USD1BN.
However, I believe the 2003 rankings are coming out soon, or have just come out. It’ll be interesting to see where she is on the list this year.
YWalker, Oprah already is a billionaire, according to Forbes.
Ah, bromells beat me to it… but my link is more up-to-date 
Might be Mary Pickford–she was making a million a year in the mid-teens.
Mary Pickford was from Toronto. She might be the first Canadian female millionaire, though, even with the exchange rate.
Mary Pickford automatically became a U.S. citizen when she married her first husband, Owen Moore, in New York in 1911. She requested and regained her Canadian citizenship in November 1978.