Purely in terms of documentary features, as opposed to short actualities, which started with the first moving pictures in the 1890's, then the first big name most mention is Robert Flaherty, and the first big film is Nanook of the North; but he wasn't an isolated figure; also early on the scene in the 20's were the team of Merian C.Cooper and Ernest Schoedsack, with 'Grass, a nations fight for survival' filmed in the Middle East; and the somewhat more staged Chang, in the Far East. They are best known now for their first purely fiction film - King Kong. If you have seen the original, you recall the filmmakers going on this wild expedition to film Kong on Skull Island?? That's Cooper and Schoedsack sending themselves up....
In this country Grierson gets all the early plaudits for films like Drifters (1927), seen as the birth of the British Documentary Movement - note the capital letters - but in truth he was already following an established tradition; what was new was his left-wing political viewpoint. Earlier examples include The Battle of the Somme - a still powerful film, not for the squeamish - and given a full theatrical release in 1917. The earliest I can think of at the moment is a feature documentary made at the 1911 Delhi Durbar, filmed in Charles Urban's Kinemacolour process by five camera crews, and which played exclusively at the Dominion, Tottenham Court Road for about a year, 1911/1912. A few fragments of this have recently been discovered in an overseas archive, and featured in the recent 'British Empire in Colour' TV series.
Edit; the title is
'With Our King and Queen through India'
To answer your question regarding popularity, well the Delhi Durbar film obviously did good business in an era when films were on the screen a week before being replaced...and The Somme did huge business simply because film of action near the front was not always carried by the newsreels - and people at home desperately wanted to understand what was going on in Flanders, as returning soldiers tended not to discuss the conditions...but finally you have to understand that documentary cinema had not then been compartmentalised and ghettoised into artshouse cinemas; it was a film, and if the distributors and showmen thought it would get bums on seats, a documentary film would get the same marketing, showmanship and distribution profile as the lastest drama