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

Strictly speaking, the first super villain was Fantomas (created by the French Автор 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 Ты look at it technically, and Ты surmise that Супермен is the first "Superhero" then Ты must not know that Супермен was actually originally the very first "Super Villain". In 1933 Siegel actually wrote Супермен as a super human version of Lex Luthor. Hope that helps :)