Who invaded Sindh first?

The first known invasion of Sindh is thought to have been  by the Persian Achaemenid Empire during their invasion of the Indus Valley region.

Subsequently the Achaemenid Empire would lose its control over the region following an invasion by Alexander the Great of Macedonia.

For further reading check the following articles:

• Arab and Turkish Invasions
• First Battle of Tarain of 1191
• Second Battle of Tarain of 1192