On November 1, 1894, Thomas Edison filmed Annie Oakley demonstrating her skills.
Art & Photography Companion: American West Collection
According to Wikipedia:
The film was shot in Thomas Edison's Black Maria Studio in New Jersey on a single reel, using standard 35mm gauge. Edison wanted to see if his kinetoscope could capture the flight of a bullet, and recruited Buffalo Bill's Wild West show veteran, Annie Oakley (nicknamed "Little Miss Sure Shot" due to her diminutive 5-foot stature) for the film. The footage captures Annie shooting at stationary objects and thrown disks, assisted by (most likely) her husband Frank E. Butler.