A cursory search shows that FDR's speech at the Grand Opening of the 1939 New York World's Fair was broadcast on WNBC in the New York area. This marks the first time that a sitting US president was broadcast on TV.

Herbert Hoover had, as Secretary of Commerce, been on television in already in 1927 via an experimental AT&T broadcast. This marks the first time that a person who would later become president was on broadcast TV. He does not appear to have been on TV during his presidency (1929-1933).

Those were the first, depending on how you define "first".

Source: Erik Barnouw, Tube of Plenty : The Evolution of American Television (Cary: Oxford University Press, 1990), 61, 89.

Roosevelt's 1939 World's Fair speech was at a time when TV was still experimental, so it was seen by few people. Also, he didn't make the appearance specifically for TV and likely his speech was not significantly adapted for it.

Harry Truman was actually quite involved in television, and I would say he was the first president to use TV as a communication tool. He's credited as being the first to make a speech specifically for television in 1947. TV played a part in the 1948 campaign, and the election results were broadcast by NBC and CBS. Truman's inauguration in 1949 was the first to be televised.

Truman also participated in two major TV events of the early 50s. In 1951 he gave a speech to open the Japanese peace conference in San Francisco. AT&T had just completed the first coast to coast TV connection and that speech was the first live transcontinental TV broadcast.

In 1952 Truman gave a televised tour of the newly renovated White House. That broadcast was a technological achievement and I believe was the most watched event at that point. Truman also set a standard with it for allowing TV cameras into the White House as well as setting a standard for public openness to the inside workings of the office.