Over at The Groovy Age of Horror Curt Purcell just finished the third of three posts on the concept of "monster rallies" in horror movies (for the most part beginning with 1943's FRANKENSTEIN MEETS THE WOLF MAN) and horror comics. By coincidence I'd already been getting interested in this general concept of "interrelated monsters" through the webforum Classic Horror Films, where a thread asked the question as to when the concept of "ghoulish families" like the Addams Family got started.
Now, it so happens that the Addams Family's first cartoon was in 1938, which puts that particular cartoon before the aforementioned 1943 film. However, not being a Charles Addams expert, I've no idea as to what that first cartoon contained, and when Addams started putting in characters that drew on monsters from the movies and elsewhere-- the Frankensteinian butler eventually named "Lurch," or that "crawling hand" Thing. For all that I know at this time, the first Addams cartoons may've presented nothing more than a family of weirdos, of the sort one sees in the 1932 film THE OLD DARK HOUSE (itself based on an earlier novel). These kind of weirdos, like the Addams character eventually named "Gomez," had no explicit connection to movie monsters. The one exception, I assume, would be the black-clad lady of the Addams house, later named "Morticia" for the 60s TV series, as her character looks pretty strongly modeled after the Carol Borland vampiress from 1935's MARK OF THE VAMPIRE. In any case, though, the "ghoulish family" of the Addams probably didn't begin as a "monster mash" composed purely of spoofy versions of famous monsters of filmland, as with that other 60s series, THE MUNSTERS. It's interesting, though, that 1938, the year of the first Addams Family cartoon, also saw a re-release of the two most famous terror-tales of the early 30s, DRACULA and FRANKENSTEIN.
But still and all, it does look like FRANKENSTEIN MEETS THE WOLF MAN is the first time the cinema ever put together two monsters whose respective origins had nothing to do with one another.
But whether cinema was the first medium to do so may depend on your definition of the word "monster." Structurally speaking, "villains" do pretty much the same things that "monsters" do. The most crucial difference is that in horror-tales the monsters, not their usually-ordinary opponents, are the "stars" of the show. But villains, more often than not, are basically foils to the (super)hero whose name is, or is above, the title.
Crossovers were not new to popular media before either comic books or horror movies came along: one thinks of stories where authors crossed over characters and/or concepts that had appeared separately (Haggard's 1921 SHE AND ALLEN, Burroughs' 1930 TARZAN AT THE EARTH'S CORE). But I'm not aware of any prose ancestor to a conceit that preceded the "monster rally"-- i.e, the "villain rally," which seems to have made its biggest showing in the comic book medium.
Now, by "villain rally" I mean the same sort of phenomenon we saw in FRANKENSTEIN MEETS THE WOLF MAN: two larger-than-life characters explicitly brought together so that an audience could see how they "meet" with one another.
I doubt-- though I can't be sure-- that there were any crossovers in most of the early pulps, comic strips, or "pre-Superman" comic books, though I've heard rumor of a couple of "villain rallies" in pulps whose dates I haven't yet ascertained. I'd say that even if such exist before the first ones in comic books, the comics-versions still took off with the concept as no medium had before.
The earliest "villain rally" I've pegged is in 1940, in BATMAN #2. One issue after BATMAN #1 gave fans both the Joker and the (not yet costume-wearing) Catwoman, both criminals overlap in one of the stories in issue #2. However, it's not that great a crossover, partly because Catwoman isn't yet a larger-than-life figure. Indeed, she spends a sizeable portion of the adventure protecting Robin against the Joker until Batman can arrive. So this tale in issue #2 both is, and is not, a real "villain rally."
I have a better candidate for "first rally" in STAR-SPANGLED COMICS #7, a 1942 tale written by Jerry Siegel and featuring Siegel's heroes, a "Batman and Robin in reverse," where the lead hero is the teenaged Star-Spangled Kid and the sidekick is an adult with the risible name of "Stripesy." In earlier issues they had encountered separately the menaces of "the Needle," a criminal who killed victims with-- guess what, and a hulking "Mr. Hyde" sort of villain named "Doctor Weerd." One could almost call this something of a "monster rally" as well in that both villains are overtly grotesque-- but in any case, it predates FMTWM in terms of simply bringing together two unrelated agents of chaos, albeit as foils to a goodguy hero.
Finally, during the same year FMTWM came out, CAPTAIN MARVEL ADVENTURES #22 launched the first chapter of its multi-part tale, "the Monster Society of Evil," in which new villain Mister Mind bosses around an assemblage composed of both new antagonists and villains who had been created for previous stories, such as Nippo, Ibac, and the irrepressible Doctor Sivana.
So for what it's worth, one might say comic books got a little ahead of horror films in terms of giving audiences a new cosmos of interrelated monsters. As to what this means, if anything-- stay tuned.