*Not a teacher
The first one is not correct. In your example, you are not allowed to use a present tense in the subordinate clause because there is a past tense in the main clause, so in the subordinate clause must be used a past tense (past simple, past perfect, the future in the past etc).
You can say: This is the first time he has seen this movie.
The second one is good. You used a perfect tense (and a past tense, required by the sequence of tenses).
The third one is also incorrect, we use perfect tenses with "the first time" (usually present perfect, but you are not allowed to use a present tense in your example (the sequence of tenses)).
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