The first photograph is supposed to have been taken in the late 1820s. But what was the first major historical event to be photographed?
It is difficult to give an answer, what is a
major historical event?
According Wikipedia Carol Szathmari was the first combat photographer during the Crimean War (1853-1856). This was some years before the United States Civil War. Some technical information can be found at the Muzeul Naţional de Istorie a României
At Wikipedia they mention also a daguerreotypes of the U.S. troops in Satilo, Mexico, (1847).
Edit: I found some new information. The book Photography: A Cultural History by Mary Warner Marien has some interesting informations on page 44ff. The book tells, there were no plans to make the pictures of the Hamburg Fire (Hermann Biow). The first planned pictures from historic events are done 1848 in France (abdication of King Louis-Phillippe) by Eugène Thibault.
The first war photographies are from the Mexican-American War (1848, see page 47).
For an international event, this may well be the Mexcian - American War (1846-48). In particular, there is an April 1847 picture showing what is probably first amputation photographed.
For a regional or local event, the date can be pushed back to 1842 (see below).
Although the first photo dates back to 1826 or 1827 (see picture here), it took many years to solve the problem of the long exposure time needed (up to 8 hours for early photos). By 1841 this had been cut considerably (but was still at least one minute), and portraiture and photos of monuments started to become popular. By the late 1840s photographers started to 'get out and about'
villages and towns were served by traveling photographers who had fitted up wagons as studios
It would appear that it was from this time that the first major historical event (for all the problems of this definition) was recorded: the Mexcian - American war.
This photo may well also be the first one of an amputation. Other photographs of the Mexican American war can be found here, all using daguerreotype photography.
About a year later, a photo was taken of the crowd at the Great Chartist Meeting in London on the 10th of April, 1848. This may well be the first ever photo of a mass demonstration.
"The Great Chartist Meeting on Kennington Common, London". Source: History Today Volume 48 Issue 4 April 1998
Another early 'major historical event' to photographed was the Great Exhibition in London in 1851. The picture below used a different photographic process (Calotype).
Mounted Calotype depicting a scene from the Great Exhibition of 1851. William Henry Fox Talbot [Public domain], via Wikimedia Commons
If we accept a local event, then this photograph of a water jousting event in 1842 predates the others.
Funeral of prince Ferdinand Philippe d'Orléans, Paris, 3rd of August 1842
The 31 years old son and heir of France's last king, Louis-Philippe the first, died in a horse-car accident in 1842. This daguerreotype documenting his national funeral belongs nowadays to Paris' Orsay Museum.
This photography, and many other pictures of Notre-Dame-de-Paris before its restauration in 1845 (though not linked to any particular historical event) can be found on this website provided by @MarkJohnson in a comment.