The chronologically first appearance of Grievous appears to be "Rising Malevolence," Episode 1.02 of the Clone Wars (2008 series)
In "Rising Malevolence," Count Dooku is seen commanding the warship Malevolence and its powerful superweapon.
The chronological order of the various Clone Wars episodes is laid out in this answer. "Rising Malevolence" was preceded by:
- 2.16 "Cat and Mouse"
- 1.16 "Hidden Enemy"
- The Clone Wars movie
- 3.01 "Clone Cadets"
- 3.03 "Supply Lines"
- 1.01 "Ambush"
None of these episodes features General Grievous.
However, we know the Jedi Order must have have known about him earlier, because they are there when Palpatine speaks of the ion cannon as "General Grievous's secret weapon":
PALPATINE: Have you had any success in finding General Grievous's secret weapon?
Master Plo was here in the Abregado system when we lost contact.
It therefore seems likely, though not certain, that some Jedi had encountered him prior to the events of this episode.
There's no indication, to my knowledge, of what he was doing prior to "Rising Malevolence."