The [first music video-like](http://en.wikipedia.org/wiki/Music_video#History_and_development) would be [The Little Lost Child](http://en.wikipedia.org/wiki/The_Little_Lost_Child) in 1894 (!!). This is considered more like the first illustrated song. Using a magic lantern, a series of still images were projected on a screen simultaneous to live performances.

Also, [Silly Symphony](http://en.wikipedia.org/wiki/Silly_Symphony) (1929-39) and Fantasia (1940) were animated films/videos (the former one short)  that were structured around music. Thus, technically they are music videos.

The first music video as we know it today, was Tony Berrett's [Stranger in Paradise](http://en.wikipedia.org/wiki/Stranger_in_Paradise_(song))(1953) (cannot find it online). 

The next music video was Elvis's Jailhouse Rock (1957)

https://www.youtube.com/watch?v=gj0Rz-uP4Mk