The first appearance was as a serialized novel, titled BENITA, and published in Cassell's Magazine, December 1905 through May 1906. Gordon Browne created 36 illustrations.
According to McKay, Scott, and Whatmore, Cassell and Company published the first edition in book-form in London on September 7, 1906 using the title: BENITA.
Longmans, Green, and Company published the first American edition September 7, 1906. The ads at the end of the book are not dated, and only 8 of Browne's original 36 illustrations are included. 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.