Jean Moeremans was one of the earliest saxophone virtuosos to record, if not the first. He was making records for the Berliner company as early as 1897, and went on to make nearly two dozen sides for the fledgling Victor company between 1900 and 1904. It's not certain when Moeremans was born (he died in 1937 or 1938), but at some point in the late 19th century he emigrated from Belgium to Canada, where he was heard by bandleader Patrick Gilmore. He became a featured soloist in Glimore's band, and later joined John Philip Sousa's band and the United States Marine Band.
I've included two examples of Moereman's playing. The first is a glimpse into the 19th century - "Fantasie on Old Folks at Home," recorded for Berliner on October 13, 1899. This will require some sympathetic listening, as the surface noise overpowers the music at the beginning of the disc. (It does get better as the record progresses.) The second recording is from June 19, 1904 - "Carnival of Venice," from Victor 16244. This was originally released on a one sided disc, but my copy is a reissue from 1910-1911, with a piccolo solo by Darius Lyons on the flip side.
Fantasie on Old Folks at Home - Berliner 0605
Carnival of Venice - Victor 16244