The first appearance was as a serialized novel, published in The Windsor Magazine, December 1904 through October 1905. Maurice Greiffenhagen created 52 illustrations. The Popular Magazine serialized this novel in 8 parts, January 1905 through August 1905. I do not know if this serialization was illustrated or not.
McKay, Scott, and Whatmore claim that Ward, Lock, and Company published the first edition in book-form in London on October 6, 1905. Apparently 25,000 copies were printed, with 32 of Greiffenhagen's 52 illustrations, but no ads at the end.
Doubleday and Company published the first American edition October 6, 1905. There are no ads at the end of the book, and only 8 of Greiffenhagen's original 52 illustrations are included on plates. McKay and Scott both agree on the publication date in New York.
See the VisualHaggard.org page dedicated to the illustrations found in various editions.
I own the complete serialization of this novel in THE WINDSOR MAGAZINE, but the copies shown below are not mine.
Two of the Greiffenhagen illustrations from the serial
I do not own the serialization of this novel in THE POPULAR MAGAZINE. The first three covers are shown below, all having to do with AYESHA.
Copies of the British first edition, pictured below. None are mine, though I do own a copy.
Variant binding without labyrinth device to spine or front board
Below, a first Canadian edition, with unique red-hued frontispiece
Notice, the frontispiece says upwards, instead of downwards.