The apparent first Anglican bishopric in India, that of Calcutta, gained its bishop (Thomas Fanshaw Middleton) in 1815. The details of the development of that church, although rather hagiographical, are available in the 1924 History of the Church of England in India (Chapter VIII, about Middleton and the circumstances of the establishment of the post, is here; just drill up for the rest). As far as Egypt, which was (except for about eight years, 1914-1922) never a de jure part of the British Empire, the diocese of Egypt with North Africa and the Horn of Africa began in Alexandria in 1841 as part of the Diocese of Jerusalem, starting (according to them at least) with a grant of land and permission to operate by the modernizer Muhammad Ali Pasha and a first church consecrated in 1839--although the date I see is after the crippling treaties imposed on him by the combined western powers after quelling his threat to the Ottoman state. It did not become its own diocese until 1920, during that few years of protectorate status between Britain and Egypt.