Zorro
The first Zorro story was a 1919 novel, The Curse of Capistrano, by Johnston McCulley.  He soon becomes a regular character in pulp fiction magazines.  McCulley was inspired by the story of the real bandit Salomon Pico and other real Mexican bandits who robbed Americans after the Mexican-American War.  However, because his readers were Americans, McCulley had his Zorro fighting Spanish people instead of Americans.