So I began hunting in earnest, to find if the DC Comic was actually the first time comic book characters in any genre had assumed co-starring roles in a story. Frankly, I didn't confine my search only to comic books, but I was pretty sure that I'd find a big goose-egg in such media as films, radio, and comic strips. All three lacked the sort of unitary business model found in American commercial coniic books, the sort of approach that has made crossovers particularly viable. I found some suggestions that various female characters in comic books had crossed paths in the Golden Age. most notably Timely teen-humor character Patsy Walker and Madeline Joyce, a.k.a. "Miss America," though apparently Madeline did not appear in her costumed identity.
A few other comedy-characters met one another, but most of the adventure-oriented genres-- superheroes, space opera, westerns, and jungle-stories-- very few writers seemed to have given a second thought to the pleasures of having female characters meet one another. Granted, pound for pound there aren't that many male/male crossovers in the Golden Age if you discount regularly occurring teams. Still, even publishing giant DC Comics seems to have only one story comparable to the 1965 team-up of Supergirl and Wonder Woman: 1943's ALL-STAR COMICS #15, in which several girlfriends of the Justice Society meet one another and don the costumes of their male counterparts in order to save the main heroes from a villain. This is a cool little story, which James Robinson re-wrote for a sequence in his STARMAN title, but it doesn't satisfy my criterion for a crossover of featured characters.
Happily, in 1943 another story appeared from Fawcett Comics, which keeps the 1965 BRAVE AND BOLD from holding the honor of being the first crossover of two female superheroines. The story "Mary Marvel and the Riddles of Death" from MARY MARVEL #8 may not be the first time Mary Marvel and Bulletgirl met, whether on the comics-page or behind-the-scenes. But both heroines know one another's identities at the start of this story, as Susan "Bulletgirl" Kent attends the high-school graduation of Mary "Mary Marvel" Bromfield-- a graduation attended by no one else in Mary's circle, not even her brother Billy Batson. Still, the absence of other supporting characters indicates that the writer wanted to have no distractions from the central plot: showing two female crimefighters taking on a pair of murderous crooks.
One can read the full story here at this January 2013 post at THE TIME BULLET. While the 1965 B&B story seemed predictable in a bad way, the MARY MARVEL tale is formulaic in a good way: a way that suggests the basic appeal of the formula rather than its limitations. Susan Kent is attacked by two previous antagonists of the Bulletman-Bulletgirl team: the Weeper-- technically, the son of the Weeper, since the original character died-- and Doctor Riddle, who had perfected the schtick of leaving riddle-clues a good five years before the birth of Batman's Riddler. It's not a momentous tale, but it's perfectly enjoyable on its own terms, though one might wonder why the villains don't cause Susan trouble by simply revealing her real identity to the world. But had they done that, it would have read more like a standard DC tale, instead of a good little rock-'em, sock''em story that lets the ladies deal out distaff justice.
One quick notation: while Mary Marvel did maintain her own feature, Bulletgirl shared feature-status with the hero after whom the feature was titled, Bulletman. Bulletman did initiate the feature without a female co-star, but by the time this story was published, Bulletgirl was an integral co-star, not merely a supporting character-- and so she satisfies my "featured character" criterion.