In the 1930 film Soup to Nuts. In the early years of their act they were associated with Ted Healy. Curly isn't in this movie and Moe is not the dominant stooges with Shemp in Moe's role. And there was a mute fourth stooge whom we would never hear from again!
Here's more on The Three Stooges and here's a Wikipedia article on Soup to Nuts.
Oh I just have to admire how they made movies back then. It seems like the late 20s and early 30s made for an interesting time for filmmaking. Almost makes me long for some of the techniques that were used in that era. Of course we can never go backwards in time and use the buildings from that era that were torn down and the automobiles or the technologies that were used back then.