The first is from 1961 and illustrated throughout by Brian Lewis. Although, it's not as thick as an annual, I would consider this the first.
The Supercar Annual from 1962 had artwork by Eric Eden and Jacqueline Dickenson, and stories written by Eric Eden and Sylvia Anderson. The annual had a story arc which involved the experimental rocket, Super-R.
It’s worth mentioning that the TV comic annuals also carried Supercar strips starting in 1962 . Two had Supercar on the cover.