May 9 and May 12, 1739 -- the New Room at Bristol, United Kingdom

from Chapel's web posted description =
John Wesley came to Bristol in 1739 at the invitation of George Whitefield, who asked him to take over his work of preaching to the open air crowds which he had gathered. Wesley preached his first open air sermon in this country on April 2nd in a Brickfield in St. Philip’s Marsh and continued this work later at Hanham Mount and several other places. Religious Societies in Bristol then increased in size, and on May 9th Wesley bought the land and on May 12th laid the foundation stone of what he called "our New Room in the Horsefair", which was built as a place to expound the Scriptures to the Societies. It is thus the first Methodist building in the world.

When the Societies were united here, they became the first Society fully under Wesley’s control. In 1742 it became the first Society to be divided into Classes with Leaders. In 1748 the building was enlarged and to some extent reconstructed.
http://www.newroombristol.org.uk/History