You Nazty Spy by the Three Stooges released in January 1940.
Alfred Hitchock's Foreign Correspondent was released in summer 1940, and included a specific appeal to Americans read by Joel McCrea. (It was a U.S. production, but mostly took place in England and Holland)
A few months later The Great Dictator by Charlie Chaplin was released.
Hitchcock made The Lady Vanishes in 1938 in England, in which the bad guys are clearly Nazis, although it's never made explicit.
There is a scene near the end, which is clearly meant to be a warning, and possibly a rebuke of Neville Chamberlain. A typical, stiff-upper-lip Brit tries to surrender to the bad guys and is shot.