The Woman in Red is the secret identity of policewoman Peggy Allen. Frustrated by the limitations of her job, Peggy creates a secret identity. As the Woman In Red, she wears a red floor length coat, hood and mask.

The Woman in Red made her debut in Thrilling Comics #2 (March 1940). Comics historian Trina Robbins has claimed that the Woman in Red is the first female costumed superhero, preceding such better known characters as Wonder Woman, Phantom Lady and Mary Marvel, though the non-costumed Fantomah debuted one month earlier. While the Woman in Red never made a cover appearance, she continued to appear regularly in issues of Thrilling Comics. Her last Golden Age appearance was in issue #46 (February 1945).

The pics below are from Thrilling #30. In this story a millionaire has a valuable Buddha statue worth a fortune. In a twisted kind of plot, he plans to steal his own treasure, probably to collect on the insurance. He hires some thugs to pretend to steal it, but they are followed and accosted by the Woman in Red (acting as an undercover agent for the local police). However she is thwarted on several failed attempts to stop them. She is pushed down, grabbed, and knocked out. In the final scene she is being shot at and is rescued by the police who charge into the room unexpectedly. What a miracle! Any thing is possible in comic book storytelling. Enjoy.
Source: Golden Age Comics Download