The first player to steal home in a World Series game was Bill Dahlen, who did it in the 1905 contest between the New York Giants and the Philadelphia Athletics. He pulled it off in the top of the fifth inning of Game Three, played on October 12, 1905.
Dahlen came to bat against Athletics starter Andy Coakley with the bases loaded and the Giants leading 4-0. After reaching on a fielder’s choice which plated another run, Dahlen stole second, and moved to third on center fielder Art Devlin’s single. With Giant runners on first and third, manager John McGraw decided to try a double steal. It ended up being successful as Devlin stole second and Dahlen stole home on the delay, making the score 7-0.