Yes and no. Yes, in that Nanook of the North often considered the first ever documentary of any sort, features a scene in which Nanook (who is Inuit) listens to a phonograph record for the first time. That scene is here. This film was very well known in its day, and both reinforced preexisting stereotypes about Inuit people and helped to perpetuate those stereotypes to a much broader audience. It is an incredible piece of filmmaking, however, and I've often recommended it to students in indigenous studies courses in the past.

But also: no. You might be interested in a book Beverly Singer did in 2001 which I believe contains some discussion of the fact that even in this iconic encounter between the "primitive" Nanook and the modern phonograph -- much of the scene is staged. Nanook and his family and friends were well aware of phonographs and other Western technology, and played to the camera. Western audiences ate it up, of course.

"Primitive" is a loaded and not very helpful category, and that scene in Nanook illustrates its complexity very well. Western audiences wanted to believe that indigenous people possessed static cultures inevitably stuck in the past, and so they clamored for just this sort of scene. But supposedly isolated "primitive" indigenous people very often have ways of accessing Western technology that put the lie to assumptions that they might be unaware of the world around them, terrified of gunshots, mystified by phonographs, or inclined to believe that white people are gods. Those are all common tropes in Western-indigenous encounter.

A caveat: I imagine there are filmed images of non-Western people hearing Western music for the first time that are verifiable in some way. But I'd strongly hesitate to call those people "primitive." Perhaps others have suggestions of particular film clips?