According to this FAQ:

The word 'blue' has been associated with the idea of melancholia or depression since the Elizabethan era. The American writer, Washington Irving is credited with coining the term 'the blues,' as it is now defined, in 1807. (Tanner 40) The earlier (almost entirely Negro) history of the blues musical tradition is traced through oral tradition as far back as the 1860s. (Kennedy 79)

Jeff