This site says the Greek victory over Italy in October 1940.
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The Greek victory over the initial Italian offensive of October 1940 was the first Allied land victory of the Second World War, and helped raise morale in occupied Europe. Some historians argue that it may have influenced the course of the entire war by forcing Germany to postpone the invasion of the Soviet Union in order to assist Italy against Greece. This led to a delayed attack and subjected the German forces to the conditions of the harsh Russian winter, leading to their defeat at the Battle of Moscow.
I do agree, though: The Allied recapturing of Narvik on May 28 1940 might be a better answer.
Quote:
Coordinated by the Norwegian General Carl Gustav Fleischer, Norwegian, French, Polish and British forces recaptured Narvik on May 28, 1940. This is also considered the first allied infantry victory in WW2.
Narvik was a rather small scale operation that ended with the defeat of the Allies on land. Only the respective naval battle had a succesfull result for the Allies but that was rather the means than the goal of the operation.
Greco Italian war is indeed the first Allied victory in WW II with dire direct and indirect effects for the AXIS.