It depends on how you define your terms, anon. Marvel began as Timely Comics in 1939. Their first costumed, powered ladytype debuted Mystic Comics #4 in 1940:
Now start the adventures of another Black Widow— a human tool of Satan whose very touch means death.
Timely was slow to get on the bandwagon even after Wonder Woman was a huge success at DC, but eventually they debuted Miss America in 1943. Miss America was so popular that she got her own book, Miss America Magazine. Miss America was followed by characters like the Blonde Phantom, Sun Girl, the mysterious beauty, and Venus, who all got their own books or back-up strips. Some of the old Timely stars made it into the Marvel universe, like Captain America, Bucky, and Namor. The women didn’t, with the exception of time travel and niche retro-revival stories like The Twelve and Agents of Atlas.
Timely cancelled superheroes in 1949, and rebranded all its hero books as romance titles. Human Torch became Love Tales, Blonde Phantom became Lovers. Once upon a time, comics didn’t have a problem targeting teenage girls. Patsy Walker was introduced in a back up feature in Miss America Magazine in 1944, and she soon became the most successful female lead the publisher’s ever had. In 1976, she became the Marvel hero Hellcat, so you can make the argument that she’s really Marvel’s first stand-alone heroine. She’s certainly a huge part of the company’s history that doesn’t always get remembered in 75th anniversary specials. Patsy Walker #95 was the first issue to be labelled “Marvel Comics” when the company changed its name.
Fantastic Four debuted in 1961, and that’s where the Marvel universe really began. Some of the old Timely characters came back, but they were given fresh starts and new plot hooks: Namor was amnesiac and had lost his kingdom, Captain America was a man out of time, and she shared universe was distinctly Marvel, not Timely.
Notable heroines of this era include Jean Grey (1963), Scarlet Witch (1964), and of course, Sue Storm (1961). All of these heroines appeared as part of a clear-cut team. One who didn’t is the Wasp, who debuted in 1963. Jan was clearly a junior partner to Hank Pym, but she had her identity and origin story set before she appeared in the first issue of the Avengers.
Natasha debuted a little after Wasp, in 1964, but as a villain. Here she is on a spread from Tales of Suspense #55:
While Natasha quickly got caught up with Hawkeye and didn’t get a costume until after they became partners, she was never his sidekick. Clint joined Natasha’s ongoing plotline and served her pre-existing motivations, not the other way around. As villains, though, they certainly couldn’t count as superheroes, and they were never the ones carrying the story. Like the page says, it was really “All About Iron Man.”
Natasha didn’t become a hero until she started appearing in Avengers, as a supporting character for a team. In 1970, though, they spun her off into her own ongoing feature, the first superheroine to get that treatment under the Marvel imprint, about ten years after Fantastic Four #1. The first definitely Marvel heroine to debut in her own comic was Greer Grant, in 1972.
So, to sum up:
- 1940: Claire Voyant/Black Widow debuts for Timely Comics, the first super-powered costumed female character
- 1943: Miss America debuts, has her own long-running series, is reintroduced to Marvel continuity in a 1974 time-travel story
- 1944: Patsy Walker debuts, becomes ultra popular teen girl star, later becomes the Marvel Comics superheroine Hellcat
- 1963: Janet Van Dyne debuts as the Wasp
- 1964: Madame Natasha debuts as Black Widow, and Iron Man villain, later becomes first woman to star in her own ongoing feature at Marvel
- 1972: Greer Grant debuts as the Cat, the first Marvel heroine to debut in her own ongoing
I think you could make a case for any of these as “Marvel Comics first solo-not-part-of-team lady superhero.” The important thing, to me, is that that there are a whole lot of weird-slash-wonderful heroes worth remembering.