Back to research, and found that between 1903 and 35 there were quite a few colored films, colored in the sense of dye being added (usually by mechanical, not hand, process). 1935's Technicolor Process 4 was the first true color film, made with 4 negatives (CMYK).
Claude Friese-Greene, responsible for the London film, used a process (started by his father) that used multiple copies of black and white negatives, rephotographing them through different color filters.
http://en.wikipedia.org/wiki/L..._color_feature_films
http://en.wikipedia.org/wiki/Claude_Friese-Greene
Both stories are quite interesting!