Dr. No was the 1962 film that first featured Sean Connery as James Bond.
Directed by Terence Young, Dr. No was the first released film in Eon Productions' James Bond series. Connery plays Bond, a British MI6 agent sent to Jamaica to investigate the disappearance of fellow agent John Strangways. The case leads him to the island base of the scientist and SPECTRE operative Dr. Julius No, who is attempting to disrupt an American space launch.
The film established many features associated with later Bond adventures: the stylized gun-barrel opening, elaborate title design, exotic locations, glamorous supporting characters and the famous introduction, “Bond, James Bond.” Monty Norman's Bond theme and Ken Adam's production design also helped define the series' visual and musical identity.
Dr. No was adapted from Ian Fleming's sixth Bond novel, even though it was the first novel selected for filming. The next Connery Bond film was From Russia with Love in 1963. Thunderball, Goldfinger and the other listed choices came later, so none can be the answer to the question about Connery's first Bond appearance.