Was The Wizard of Oz the first color film?

No.

For a couple of reasons:

it was only partially in color. Gone with the Wind came out in the same year.

There was a totally colored film 3 or 4 years before either (Becky??? something).

Partially colored films have an much older history:

there was 2 color technicolor

there were hand painted films

there were tinted films

going back to the turn of the century (the last one)

More

Several big-budget films had been made in color during the mid-1930s. Probably the most famous was "The Adventures of Robin Hood", starring Errol Flynn and released in 1935. As noted above, there were also films made using a 2-color process as early as the 1920s but (a) the process didn't produce very realistic colors, and (b) none of the films were particularly memorable.