It was at the opening ceremonies for the New York World's fair on April 30, 1939. From Wikipedia: "President Franklin D. Roosevelt gave the opening day address, and as a reflection of the wide range of technological innovation on parade at the fair, his speech was not only broadcast over the various radio networks but also was televised. NBC used the event to inaugurate regularly scheduled television broadcasts in New York City over their station W2XBS (now WNBC). An estimated 1,000 people viewed the Roosevelt telecast from about 200 television sets scattered throughout the New York area."
AND: Harry Truman was first president to give a televised address from the White House, Oct. 5, 1947.