Lead actress Daytime Emmy nominee Peggy McCay (Caroline) taped her first episode of "Days", # 4381, on January 24, 1983.
The episode aired on February 7, 1983 and featured the wedding of Roman Brady and Marlena Evans.
Here's a look at back at Peggy's first day as Caroline.

Note that on the taping schedule, instead of being listed as Caroline and Shawn, the two characters are grouped together in their two scenes.
In their first scene, Act III, pgs. 44-51, they are listed as Mr. & Mrs. Brady.
In their second scene, Act IV, pgs. 78-83, they are listed simply as The Bradys.

Here is Peggy's first-ever scene as Caroline.
This scene includes the only lines she spoke in her first episode.
Her long-time "husband", Frank Parker (Grandpa Shawn) also debuts in this scene.
Her first line spoken is: "The truth, Doug?"

The credits sheet for Peggy's debut episode lists both Peggy & Frank towards the end of the cast list.
They are listed not just after the contract cast, but after the first four guest stars (Andrea Barber, Peg Stewart, H.M. Wynant and Zitto Kazann).

I could not find Peggy's first scene uploaded on YouTube, but catch a glimpse of her and Frank Parker at the end of their first episode in the front church pew at the 2:35 mark:
PS: To not be confused, at the 2:29 mark, you will notice Josh Taylor (now Roman) looking romantically at Catherine Mary Stewart (the first Kayla) as she walks down the aisle.
At the time, Josh was playing Chris Kositchek, and was involved with Kayla. He did not start playing Roman until 1997!