Yes, the Carolyn Hester album sessions for Columbia were Bob's first time in a professional recording studio. These sessions took place on 29th September, 1961 - the same day that Robert Shelton's rave review of Bob's performance at Gerde's Folk City appeared in the New York Times, which led to Hammond signing Bob as well.
I wanted to check out what Bob says about this first recording in Chronicles, but I can't locate my copy at the moment. I remember he mention it in some detail. He also writes very interestingly about recording with Belafonte, which took place in February 1962 ("probably December 1961 - Dundas; "June 1961" - Krosgaard; "Early Fall 1961: October?" - Heylin. However, this note on Alan Fraser's brilliant "Searching for a Gem" site is conclusive:
QUOTE:
[The Belafonte session] was for years thought to be Bob's first commercial recording session, and is dated variously between Jun and Dec 1961 by Krogsgaard, Dundas and Heylin. However, documentation found in 2001 in the RCA vaults along with the tapes dates the session definitively as having been recorded at Webster Hall, New York City, on the later date of 2 Feb 1962.
So there you have it. Bob's first professional studio recordings took place in this order: 1) Sessions for Carolyn Hester's self-titled third album, Sept 29th, 1961; 2) Recording of "Bob Dylan", November 20th & 22nd, 1961; 3) Harry Belafonte 'Midnight Special' session, Feb 2nd, 1962.