Only the second phrase is natural. The first one isn't really right, but because the genitive/possessive structure doesn't work here. If the subject is a person, can say 'The actor's first movie' or 'The director's first movie'. With some inanimate subjects, it's also possible to use this structure, for example 'The studio's first movie', but it sounds very odd to say 'The series' first movie'.

They are both natural . The choice is yours.