Queen Victoria. The "Penny Black" is considered to be the first ever postage stamp. It was introduced by the British for entirely internal use in 1840. It was called the "Penny Black" because it was black and it cost one penny. The only design was Queen Victoria's head. Other denominations (and colours) were introduced once the idea caught on internationally.
On US stamps, Judy Garland ( Wizard of Oz) and Vivian Leigh ( Gone with the Wind) were both pictured in an issue honoring classic films in 1990 . Comedienne Fanny Brice was honored all by herself on a stamp in 1991, if you consider her to be a film star. Grace Kelly appeared in 1993 and was surely a film star, so maybe that is your answer.
If you mean world-wide, somebody else will have to give you the answer. Many foreign countries picture US celebrities on their stamps hoping to sell them to US film fans. There probably were some of these before 1990.
In 1980 it was probably Queen Elizabeth II as she is pictured on all British Stamps. It would be difficult to determine what country issued the first stamp with a woman on it in that year as it is pretty common these days.
In the US it would be Frances Perkins (April 10, 1880 - May 14, 1965), who was the U.S. Secretary of Labor from 1933 to 1945.
The US issued stamps in 1990, one of which showed Judy Garland in 'Wizard of Oz" and another showing Vivien Leigh in "Gone with the Wind". Both came out the same day.
Some foreign countries routinely print stamps with celebrities of all sorts, not for use for postage in that country , but to sell to fans outside-- some of them came out before 1990 and some of them show female film stars.
Dolley Madison
EDIT: Whoever answered this is wrong. Don't answer Dolley Madison!
Improved Answer: I agree, that's because the answer is Eleanor Roosevelt. n_n
Some black female postal workers were shown on a 1973 stamp that the postal service issued to honor itself. In 1978 a stamp was issued to honor Harriet Tubman.
Grace Kelly was pictured on the wedding stamps when she married the Prince of Monaco.
US Scott 306 It pictured Martha Washington.
Martha Washington. #306.
Snehamol
My guess is Empress Zewditu of Ethiopia who appeared on a 1918 stamp of Ethiopia. You didn't ask from what country, so it's hard to say. If you are talking about the United States, the first Black woman to appear on a postage stamp was Harriet Tubman on Feb 1, 1978.
The first African-American woman honored on her own stamp was Harriet Tubman in 1978. Some of the letter-sorters shown on a 1973 stamp appear to black women.
US Scott #306 Martha Washington was the first American woman to appear on a US Postage stamp on that date. However, Queen Isabella of Spain was pictured in the Columbus series.
Martha Washington, wife of President George Washington.
Martha Washington.
MIRABAI
The very first postage stamp in the world pictured a woman, namely Queen Victoria in 1840. Except for some allegorical figures and namely Indian women, Queen Isabella of Spain was the first woman to be seen on US stamps.
Harriet Tubman
Harriet Tubman was the first to have her own stamp. Some black female postal workers appeared on an earlier stamp.
The first American woman to be featured on a US stamp is Martha Washington. The stamp was released in America in 1902.
St. Alphonsamma is the first woman from Kerala to be pictured on the Indian postal stamp.