Dziga Vertov directed Soviet Toys in 1924:
Cinema Eye is also from 1924. This is a documentary and promotes the joys of life in Soviet Russia:
Man with a Movie Camera (1929) is a Russian experimental documentary:
There is a review here. There are some stills from the film and some study questions and information on Vertov's ideology and technique here and some background information here. I saw this one back in September.
Enthusiasm: Symphony of the Donbass (1931) focuses on the struggles of Soviet miners:
Information on the film here is helpful in viewing the film in context.
Three Songs About Lenin (1934) celebrates Lenin and his role in shaping the USSR:
I'm surprised more of his earlier work is not available online.