According to the Internet Accuracy Project, disk jockey-singer J. P. "The Big Bopper" Richardson was the first to coin the phrase "music video", in 1959. These are examples of early music videos:
Video Killed the Radio Star - The Buggles was the first video shown on MTV.
Blues singer Bessie Smith was shown in a two-reel short film singing 'Saint Louis Blues' in 1929.
Some good early examples here and good to see them embedded. Your definition of 'music video' could do with more detail though.
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