The first comic book set in the Matrix universe was The Matrix Comics published by DC Comics in 2003. This series was a prequel to the film, telling the story of how Neo and Trinity came to be.
However, there were other comics related to the Matrix franchise that came out before the movie:
* "The Matrix: The Animatrix" (2003) was an animated anthology series that expanded on the lore of the Matrix universe. While not exactly a comic book, it did feature multiple stories in graphic novel form.
* "The Matrix" (1999) by DC Comics was a one-shot comic that served as an adaptation of the movie.
Therefore, depending on how you define a "Matrix comic book," the first release could be either The Matrix Comics (2003) or The Matrix (1999).