The first two self-made female millionaires in America were African-American women, and they both have remarkable stories. One is relatively well-known; the other, not so much. Sarah Breedlove, better known by her later-attained business name, Madam C. J. Walker, is usually credited with being the first self-made female millionaire in America. Contrary to most reports, Walker was not the first African-American millionaire. Not even the first female millionaire. That title belongs to the humble but supremely confident Annie Malone.