I know that Superman was the first Superhero but who was the first supervillain?

Strictly speaking, the first super villain was Fantomas (created by the French author Paul Féval in 1862).
However, the first super villain in a comic book is considered as being the Ultra-Humanite (Action Comics #13, June 1939)

If you look at it technically, and you surmise that Superman is the first "Superhero" then you must not know that Superman was actually originally the very first "Super Villain". In 1933 Siegel actually wrote Superman as a super human version of Lex Luthor. Hope that helps :)