The first appearance was as a serialized novel, published in Nash's Magazine from April through November 1909. This serialization was not illustrated.
McKay, Scott, and Whatmore claim that Eveleigh Nash published the first edition in book-form in London September, 1910. According to Whatmore, 7,600 copies were printed, with a color frontispiece by Cyrus Cuneo, and 11,000 were printed for the Colonial Edition.
Doubleday, Page and Company published the first edition in book-form in New York on September 8, 1910. Sigurd Schou created a fantastic color frontipeice and 4 additional black and white illustrations. There are no ads at the end of the book. McKay and Scott both agree on the New York publication date.
See the VisualHaggard.org page dedicated to the illustrations found in various editions.
Below, a copy of the first British edition with original dust jacket, which was gifted by HRH to his nephew. I wish this copy were in my collection, but alas, it is not. The dust jacket is extremely rare--I have never seen another.
Eveleigh Nash first British edition
I own a nice copy, but the one below is not mine
Frontispiece and title-page
Bell's Indian and Colonial Library First Editions
Published without a frontispiece