The video below shows a clip of a man playing violin into a recording horn which is capturing his sound onto an Edison phonograph (wax cylinder) with two men dancing to the music, and the scene is recorded motion picture-ly with a Kinetoscope. The phonograph + Kinetoscope were known as the Kinetophone. If played concurrently the sound and picture match however I understand that the two were probably not technologically synchronised (ie tethered by a mechanical linkage in some way to be recorded as or played as a single piece) at the time. The recording was made in around 1894 or 1895.
Walter Murch (sound editor, sound designer and writer of fab book – In the Blink of an Eye) was asked to recombine the sound, that had previously been recovered from the broken Edison cylinder, with the motion picture images. He and his assistant Sean Cullen worked together (and with other people of course) to produce this short video.
I’ve actually played (very carefully) with a real Edison phonograph (belonging to Sarah Angliss who uses it in her work) and heard it used to record sound and playback. It’s quite a spooky thing to hear, even when the recording was made only a few minutes ago the weight of its history causes a slight frisson.
More at Wikipedia: http://en.wikipedia.org/wiki/The_Dickson_Experimental_Sound_Film and Walter Murch who coordinated the resynchronisation of the recovered cylinder sound with the film writes about the process for the FilmSound.org website.