The first-ever Donald Duck book was published in the US in 1935 by Whitman Publishing Co.; it was an illustrated story book with color illustrations (a hardcover edition of this book was also published the next year). In 1937, Donald Duck titles began to be included in the Big Little Books series. Around this time, the first-ever Donald Duck book outside the US came out from Britain's Birn Brothers Ltd: The Donald Duck Book. This hardcover and thick book (close to 100 pages) is undated, but I've seen an online seller dating it at 1937, based on a dated inscription on the copy they have; the long-beaked figure of Donald is in uniformity with this dating.
The framing story ends with an account of the book being printed and put on sale!