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

Strictly speaking, the first super villain was Fantomas (created Von the French Autor 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 Du look at it technically, and Du surmise that Superman is the first "Superhero" then Du 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 :)