What was the first double album?

It all depends on the genre...

The first double albums in rock music were "Blonde and Blonde" by Bob Dylan and "Freak Out!" by Frank Zappa (released shortly after Bob Dylan's album). However, the exact release date of "Blonde on Blonde" is actually uncertain. Its release date is widely accepted as May 1966 but there are other sources that claim it was released in July of that year which, if true, would make "Freak Out!" (released in June 1966) the first double album in rock music.

But whichever double album came first in rock music, there were at least two previous double albums before them. The first double studio album ever by a French singer named Léo Ferré title "Verlaine et Rimbaud" (released in 1964) and another before that (albeit a double live album) by jazz singer Benny Goodman titled "The Famous 1938 Carnegie Hall Jazz Concert" (released 1950).

The first rock double album was Blonde on Blonde by Bob Dylan.