Sayyiduna Abu Rafi' (may Allah be pleased with him) states: Among men, the first to accept Islam was Sayyiduna Ali (may Allah be pleased with him), and among women, the first to accept Islam was Sayyidah Khadijah (may Allah be pleased with her).
Al-Bazzar recorded it, and its narrators are the narrators of the Sahih.
Hadith Referenceمجمع الزوائد ومنبع الفوائد / كتاب المناقب / 15258