Third Annual Message to Congress, 7 Dec. 1903. "No one is above the law" appears in the U.S. Supreme Court case Mississippi v. Johnson (1867) (arguments of counsel). Even earlier, "no officer ... is above the law" is found in a Kentucky Supreme Court case, Johnston v. Commonwealth (1809).
Theodore Roosevelt (1908). “The Roosevelt Policy: Speeches, Letters and State Papers, Relating to Corporate Wealth and Closely Allied Topics, of Theodore Roosevelt, President of the United States”