This might be the first. This July 1979 issue of Gold Key's Ripley's Believe It or Not! (#89) featured Houdini and Sir Arthur Conan Doyle in a cover story called "The Spirit of Friendship." In the comic, Houdini and Doyle attend a seance by Margery. While Houdini did do several sittings with the famous Boston medium and Doyle was a major Margery supporter, the three never sat together at a seance. So I choose Not to believe It. But I do believe I love this cover art.
Other fictional adventures of Houdini & Doyle can be found in novels such as: The Adventure of the Spook House by Michael C. Forsyth; Nevermore by William Hjortsberg; What Rough Beast by H.R. Knight; The Arcanum by Thomas Wheeler; The Man From Beyond by Gabriel Brownstein; Believe by William Shatner and Michael Tobias. Graphic novels have included Necronauts by Gordon Rennie, and Edge of the Unknown by Jon Vinson and Marco Roblin. Last year two plays featured the duo in debate; Nothing on Earth by Randall Sharp, and Flim Flam: Houdini and the Hereafter by Gene Franklin Smith.
Past movies and television projects that never made it to the screens included a feature film at DreamWorks called Voices from the Dead by J. Michael Straczynski, a TV series called Among The Spirits at Syfy, and a feature adaptation of Thomas Wheeler's The Arcanum.
In 1997, Warner Bros released FairyTale: A True Story with Harvey Keitel as Houdini and Peter O'Toole at Conan-Doyle investigating the famous case of the Cottingley fairies.
Believe it or not!