The context is I was late and missed the first class. I asked my classmate “what did you do for /in the first class”? Does this sound natural? Which preposition is correct? Thanks.

I'd definitely just say "What did I miss?" rather than those options. Otherwise, "What happened in class on the first day?"

“What did you do in the first class?” is correct. Maybe it’s just me or where I grew up but doing something “for class” implies something that you do prior to class in order to prepare, like homework or studying. For example, if someone asked me “what did you do for class today?” I would say, “we had to read chapter 9 of the textbook and submit a paper online.” Also, you might hear “we” instead of “you.” “What did we do in class last week?”

You wouldn’t really use “for” as that indicates more some preparation your classmate did for the class, rather than asking what was covered in it. I agree with the other commenter that I’d be most likely to say “what did I miss in the first class?” but your proposal of “what did you do in the first class?” Is okay too. Although “do” makes me think of actions, like a skills-based class (like a lab or woodworking or something). If it’s just an instructional course you could also say “what did you cover in the first class?” Or “what did they go over in the first class?”

It would be more common to use the name of the class, "what did we do in English class?" If you were gone for a short amount of time and you can assume the listener will understand the context you can just say "what did I miss?" That'd be good if you showed up late to a party, nobody is going to wonder what you're referring to. I do think in the scenario you described i would say "what [happened/did I miss/did we do] in [English / first period]" saying "the first class" wouldn't be common.

in

“In” not “for”