<Crashing bore mode on> Basil Rathbone first played Sherlock Holmes in
The Hound of the Baskervilles in 1939, but that film, and its sequel
The Adventures of Sherlock Holmes, made later the same year, were both period pieces set in the Victorian era. Both were produced by 20th Century Fox.
Fox then dropped the series. Rathbone, together with Nigel Bruce, was later hired by Universal to make
Sherlock Holmes of the Voice of Terror, the first in a long series set contemporaneously with their production.
Voice of Terror was released in 1942 and the last of the Universal films was
Dressed to Kill in 1946. Rathbone would revive the role intermittently on radio and TV for the rest of his life.
Having said that, I think that the 1939
Hound was the first time a Holmes film had been set in the past. Unless the recently discovered 1916 film starring William Gillette is an exception (see
http://www.bbc.co.uk/news/entertainment-arts-29474334 ), all the previous adaptations, such as the ones starring Arthur Wontner which ran throughout the 1930s, or the 40-50 shorts starring Eille Norwood in the early 1920s, had been set contemporary with their production. <Crashing bore mode off>
That mini still doesn't seem right for Holmes, though.