The first captivity narrative in puritan literature was writing by

Captivity narratives are usually stories of people captured by enemies whom they consider uncivilized, or whose beliefs and customs they oppose. The best-known captivity narratives are those concerning the indigenous peoples of North America. These narratives (and questions about their accuracy) have an enduring place in literature, history, ethnography, and the study of Native peoples. However, captivity narratives have also come to play a major role in the study of contemporary religious movements, thanks to scholars of religion like David G. Bromley and James R. Lewis. In this article, both main types of captivity narratives are considered

The first captivity narrative in puritan literature was written by 
Mary Rowlandson.