The first watermark that appeared on U.S. postage stamps was the "double-line"  USPS, for "United States Postage Stamp", first used in 1895 on the "First Bureau Issues".

Although the lettering appears reversed on the stamps above, it would read normally when viewed from the front. As it turns out this is only one of eight possible orientations when viewed from the back. The watermarks were always applied parallel to the top edge of the paper and are never found in any orientation other than the eight described. 

Double-line watermarks appear on the following U.S. stamps: 

The "First Bureaus" - Scott's 264-284
The Trans-Mississippis - Scott's 285-293 
The Pan Americans - Scott's 294-299
The "Second Bureau" 1902 Issues - Scott's 300-322
The Louisiana Purchase Commemoratives - Scott's 323-327
The Jamestown Exposition -Scott's 328-330
The Washington Franklins - Scott's 331-366, 422-423, 460 and 519
The 1909 commemoratives - Scott's 367-373
The following Special Delivery stamps - Scott's E5-E7
The following Postage Due stamps - Scott's J38-J44
The following Officials - Scott's O121-O123
The following Newspaper stamps - Scott's PR114-PR125
As well as on some revenue stamps.