Sequels have been around since we first wrote novels. Homer's Odyssey is considered as a sequel to the Iliad. Although, there aren't too many examples of sequels of that until the French romance novels of the 18th century.

As for the first time we used a numbered sequel in a novel? I'm having a rather difficult time finding that, but I'm going to continue and research it later tonight.

For movies, it's relatively easy. Successful films from an early stage of movies had additional titles. One of the earliest examples is The Thin Man (1934). It was such a large hit that it was followed up with After the Thin Man and The Thin Man Goes Home.

As far as the usage of "2" marking a direct sequel, that award goes to Quatermass 2 (1957). However, this film remained relatively unknown as Frankenstein was released at the same time, let alone it was a terrible film. It wasn't until the 1970's that it really took off with films like The Godfather (1970), The Godfather Part II (1974), and The Godfather Part III (1990).

Sources:

Saintsbury, George. A History of the French Novel (to the Close of the 19th Century). 1919.

FORREST, JENNIFER. "Of “True” Sequels." Second Takes: Critical Approaches to the Film Sequel (2012)

Meikle, Denis. A history of horrors: The rise and fall of the house of Hammer. Scarecrow Press, 2008.

Poon, Phoebe. "The Corleone Chronicles: Revisiting The Godfather Films as Trilogy." Journal of Popular Film and Television 33.4 (2006)