1936: "The Scarab", a short story by Raymond Z. Gallun (rhymes with "balloon"); first published in Astounding Stories, August 1936, available at the Internet Archive; reprinted in the 1954 anthology Science-Fiction Thinking Machines: Robots, Androids, Computers edited by Groff Conklin; reviewed at Technovelgy. The story begins:
The message sped through the ether at 7:40 P.M., Eastern Standard Time. At 7:43 the Scarab crept out on a window ledge of the room topping a tall building popularly known as the N.J. House.
The Scarab paused on its perch for a moment, as if to determine for itself whether it was perfectly fit for action. It was a tiny thing, scarcely more than an inch and a half in length. The fancy of the craftsman who had made it had given to the Scarab the form of the beetle after which it was named. But its body had a metallic sheen, and its vitals were far more intricate than those of the finest watch.
The Scarab rubbed its hind legs together, as flies will do when at rest. Then, apparently satisfied that it was in condition, it unfolded the coleoptera-like plates over its wings. With a buzz that any uninformed person would have mistaken for that of a beetle, it started out on its journey.
It should be noted that the Scarab, although called a "robot" in the story, is remotely controlled by a man:
It was 8:43 P.M. in the topmost room of the N.J. House, more properly known as the National Justice Building.
The wizened little man leaned back wearily and triumphantly in his wheel chair. He drew his hands away from the complicated maze of levers and buttons before him. By means of them, through a system of radio impulses, the intricate, tiny robot could be guided and directed. The radiovision screen was still portraying a wild though satisfying view, picturing what the Scarab's eyes beheld. The speaker in a mahogany box still reproduced the sounds heard by the Scarab's microphonic ears.