Holy shit, a question I can answer! This isn't "early colonial" exactly, but I think you'll like it.
I'm no historian, but I'm in the middle of reading Company of Adventurers by Peter C. Newman. It's a fascinating book about the history of the Hudson Bay Company, but there's a chapter where the author shares a story from the memoirs of the American painter George Catlin:
(Catlin) observed the behavior of a group of Indians he guided through Paris in the early 1840s. The natives were not particularly overawed by large buildings nor wildly impressed by the carriages and litters (...) but they were utterly flabbergasted by the way Parisian women treated their dogs. The visitors seemed unable to understand the affection showered on the pooches when they had seen orphanages filled with unwanted children. They could not comprehend the horror on a saleswoman's face when they tried to buy the main course for a traditional dog feast.
One of the Natives also wrote up a table listing the hundreds of women they saw and the crazy ways they brought these dogs around.
The book also briefly mentions a later trip of a dozen Chipewyan to England in 1848:
All but three died of pneumonia and English cooking.
The closest thing I can think of is Samuel Purchas' account of his conversations with Uttamatomakkin (Tomocomo) who was the brother -in-law of Pocahontas. However, we can't be sure that what Purchas wrote was a fair reflection of their conversations.
For example, there's an anecdote about 'Tomocomo' using a counting stick to count the people he sees in England as he arrives by ship and then throwing it away in frustration once he realised that there are many, many more English people than people in his tribe. This could have happened, or, more likely, it could be a strategy by Purchas to illustrate the differences he perceives between 'civilised' England and 'savage' native American cultures.
Although they were not written by themselves, the observations of Mi'kmaq, Algonquin, Innu and Huron visitors to France were recorded by missionaries and others. You can find examples in Cornelius Jaenen, "Amerindian Views of French Culture in the Seventeenth Century," Canadian Historical Review 55 (1974): 261-91.
For example, here is the observation of a Mi'kmaq chief, as told by missionary Chrestian LeClerq:
... But why now, do men of five of six feet in height need houses which are sixty to eighty? For, in fact, as thou knowest very well thyself, Patriarch - do we not find in our own all the conveniences and advantages that you have with yours, such as reposing, drinking, sleeping, eating, and amusing ourselves with our friends when we wish? This is not all. My brother, hast thou as much ingenuity and cleverness as the Indians, who carry their houses and their wigwams with them so they may lodge wheresoever they please, independently of any seignior whatsoever? Thou art not as bold or as stout as we, because when thou goest on a voyage thou canst not carry upon thy shoulders thy buildings and thy edifices. Therefore it is necessary that thou preparest as many lodgings as thou makest changes of residence, or else thou lodgest in a hired house which does not belong to thee. As for us, we find ourselves secure from all these inconveniences, and we are at home everywhere, because we set up our wigwams with ease wheresoever we go, and without asking permission of anybody.
These comments were obviously translated and reshaped by French writers, who essentially used their Native interlocutors as a foil with which to criticize French society. But presumably they were not wholly fabricated.
For other instances of Native visitors to Europe during this period, see also Jace Weaver, The Red Atlantic. I'd give some concrete examples but I don't have the book handy at this moment. For the time being, here is one of Weaver's lectures in which he discusses some of the literature on the subject: https://youtu.be/x3gbKQeQKDE?t=7m55s
The earliest I know of is “An Account of the Chippewa Indians, Who Have Been Travelling Among the Whites in the United States, England, Ireland, Scotland. France and Belgium” (Boston, 1848).
But I'm not a historian by any means.
Not early colonial, but I can't pass up the chance to mention that Mohawk chief Joseph Brant had an audience with King George during the American Revolution.
You may be interested in my reply to this earlier question: In colonial times, how common was it for people (particularly Native Americans) to travel multiple times back and forth across the Atlantic Ocean?.