"steal (someone's) thunder", 1858; OED 1900--

[Joel S. Berson]

" ... nothing strongly marked or ludicrous
escaped her. She would constantly tell me of
these things, and add: 'Now, I shall use that
some day; so don't steal my thunder.' "

Godey's Lady's Book, vol. 56 (1858), p. 346, col.
2.  By Alice B. [Neal] Haven, "Personal
Reminiscences of Miss Eliza Leslie."  GBooks, full view.

Antedates OED2 "thunder, n." 3.d., 1900--.

Since, as the etymology of the OED says, this is
"Derived from the utterance of John Dennis
(1657–1734)", one might expect to find something
between him and 1858.  I didn't in GBooks.

Joel

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