“….the Favorite will be the first in the field, they have their opening day next Wednesday afternoon.” Brooklyn Daily Times, March 28, 1862, p2
Previous earliest use (Dickson Baseball Dictionary, 3rd edition, 2009):
1ST USE. 1864. “[The Star Club] voted to have their opening-day for the season on Saturday week next, April 9th” (Brooklyn Eagle, Apr. 2; Peter Morris).