#OnThisDay in 1895 #HarryHoudini did what may have been his very first police station challenge handcuff escape in Gloucester, Massachusetts. pic.twitter.com/49KavlMYGQ— John Cox (@HoudiniWild) November 22, 2018
As you can see, this is when Houdini and Bess where traveling with the ill-fated American Gaiety Girls burlesque show. Houdini was part owner of the troupe, and it appears his police station challenge was his attempt to drum up publicity for the show. It worked! Houdini would follow-up with similar tests in Woonsocket (Nov. 27), Springfield (Nov. 28), Holyoke (Dec. 1), and Fall River (Dec. 9). The rest is history.
UPDATE: The amazing Bill Mullins has found a police station escape a week earlier in Worcester.