President Warren G. Harding's May 30, 1922 speech at Arlington Cemetery appears to have been the first radio broadcast by a U.S. president (later that day Harding also spoke over the same two stations at the dedication of the Lincoln Memorial). Both stations carrying the speech were operated by the U.S. Navy: NAA, also located in Arlington, Virginia, transmitting on the longwave wavelength of 2,650 meters (113 kilohertz), and NOF, located across the Potomac River in the Anacostia section of Washington, DC, operating on 412 meters (728 kilohertz on the AM (mediumwave) band).
 
New York Times, May 28, 1922, page 13 (photograph from page 43 of Radio for All by Hugo Gernsback, 1922):
 
NATION  TO  HEAR  HARDING.

Speech  at  Arlington  on  Tuesday  Will  Be  Broadcast.
Special  to  The  New  York  Times.
    WASHINGTON, May 27.--For the first time President Harding has consented to make a speech into a radio broadcasting apparatus. His address at the Arlington National Cemetery on Decoration Day will be transmitted throughout the United States. The occasion will also mark the operation of the Navy Department's dual broadcasting system by which there is transmission on two wave-lengths synchronously. The President is scheduled to begin his speech in the Arlington Amphitheatre at 2:30 P. M., Eastern Standard time.
    Wires have been strung by the American Telephone and Telegraph Company from the microphone in the amphitheatre into which the President will speak to the radio stations at Arlington, near at hand, and the Anacostia air station across the Potomac. Arlington, NAA, will transmit the speech on a 2,650-meter wave, and Anacostia, NOF, will carry it on a 412-meter wave. This simultaneous broadcasting was recently perfected by the Naval Communications Service, in effort to reach general receiving stations within a range of about 550 miles with the short wave from Anacostia and at the same time reach larger receiving stations as far away as the Pacific Coast and ships on the Atlantic with the long wave sent out by Arlington, which carries about 1,500 miles.
Harding speaking at Arlington