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The first and foremost example that comes to my mind is the Divine Comedy by Dante Alighieri, written in the early XIV century.
This poem, a work of paramount importance for both Italian and World literature, is famously composed of three books, or cantiche:
Inferno
Purgatorio
Paradiso
Upvote:2
I know of three novels by Jules Verne that might or might not fit the definition of a trilogy.
Les Enfants du Capitaine Grant (The Children of Captain Grant) 1868, three volumes. Involves the search for the missing sea captain Grant.
Vingt Mille Lieues sous les mers (20,000 Leagues Under the Sea) 1870. 2 volumes. Captain Nemo and his submarine Nautilus.
L'Ille mysterieuse (The Mysterious Island) 1874. Three volumes. People are stranded on an island on the Pacific Ocean and have adventures. They meet characters from The Children of Captain Grant and 20,000 Leagues Under the Sea though the chronologies of the three novels are inconsistent.
These three novels are called a trilogy by this source: https://web.archive.org/web/20060818230948/http://epguides.com/djk/JulesVerne/works.shtml1
It is possible that opinions may vary about whether they should be considered a trilogy.
Upvote:3
A famous novel trilogy is Alexandre Dumas' story about D'Artagnan, Porthos, Athos and Aramis:
I won't pretend it is the oldest one, but it may well be the most read trilogy ever.
Upvote:4
Wikipedia has a category Literary trilogies. The oldest novels in the list seem to date from central Europe: Henryk Sienkiewicz's Trilogy (1884-1888), Alois Jirásek's Mezi proudy (1891-1909), and Jerzy Żuławski's Lunar Trilogy (1901-1911). I have no idea whether this reflects a bias in Wikipedia contributors or is historically accurate. The oldest listed in English is John Galsworthy's Forsyte Saga (1906-21), which was published individually, then together as a trilogy, then later extended with more books. These examples may not correspond to your definition of a trilogy.
Upvote:4
Walter Scott's work Kenilworth, 1821, is an early example of the form called three-volume novel.
James Fenimore Cooper published the first three of his Leatherstocking Tales between 1823 and 1827, with more volumes arriving in the 1840s.
Note that for novel sequences in general, "There is no useful, formal demarcation between novel sequences and multi-part novels."
Upvote:4
Robert Folkestone Williams wrote a trilogy of novels about William Shakespeare:
1838: The Youth of Shakespeare,
1839: Shakespeare and his Friends,
1844: Secret Passion.
At around the same time, Edgar Allen Poe wrote three short stories with C. Auguste Dupin, an amateur detective, as the main character:
1841: The Murders in the Rue Morgue,
1842: The Mystery of Marie Rogêt,
1844: The Purloined Letter.
These trilogies are both slightly earlier than Alexandre Dumas' Musketeers trilogy.