WHERE IT WAS SAID
In an interview given to the New York World on August 11, 1883 at the Brunswick Hotel, New York, upon his return to America to oversee his play, Vera.
“Niagara will survive any criticism of mine. I must say this, however, that it is the first disappointment in the married life of many Americans who spend their honeymoon there.”
New York World on August 12, 1883, p. 5.
WHERE IT WAS USED
In his UK lecture ’Personal Impressions of America’, 1883—1885.
WHERE IT APPEARED IN PRINT
Impressions of America, Stuart Mason, Ed. Keystone Press, 1906. [Mason 653].
The Huntington Library has Wilde's autograph notes for the talk in outline form on 12 leaves.
Impressions of America (read)
Wilde’s observation became a mainstay of his UK lecture ’Personal Impressions of America’, 1883—1885, which he first gave on July 10, 1883 at the Princes’ Hall in London.
Newspaper reports of early versions of the lecture however, despite his allusions to Niagara, show no indication of the specific remark. It was only after Wilde returned from his second visit to America in August/ September, 1883, that he began incorporating the honeymoon reference.
So it is fair to say the remark that was given life in the New York interview at the Brunswick (see opposite), began to be used in his lectures upon his return to the UK.
The first of these lectures was at Wandsworth Town Hall on September 24, 1883, and while no report has been found for this lecture, there are newspaper reports citing the honeymoon reference in subsequent lectures later that week, the earliest being his lecture in Bath on September 29, 183. 
Wilde’s purpose in formulating the observation was to link his tongue-in-cheek disparagement of Niagara Falls with its popularity as a honeymoon destination. His ostensible meaning was, as he stated, to a married couple’s first disappointment. But, as with other observations by Wilde, it has since taken on a new life.
The remark has been extended, one might say improved, to invoke the more suggestive idea of the Falls being the new bride’s second biggest disappointment. There is no evidence, however, that Wilde either said or intended this meaning. For a full analysis and history of the remark, see the Quote Investigator article linked below.
 Bath Chronicle and Weekly Gazette, October 4, 1883, 7.
Oscar Wilde, A Vagabond with a Mission, Geoff Dibb, The Oscar Wilde Society, 2013—a definitive review of the UK/Ireland lectures.