In the Season 2 episode “Warlock,” Steed has to track down the person who murdered Peter Neville, an important British scientist who was working on a top-secret formula, and who also later murders Mrs Dunning, Neville’s housekeeper. With the help of Cathy Gale, Steed discovers that Neville was involved with a black magic circle, and that the members of this circle are implicated in his murder, having been hired by an enemy agent to use occult means to coerce Neville into handing over the formula to the opposition.
This episode was first broadcast in the second half of Season 2 (it’s the eighteenth episode, out of 26, and the twelfth to feature Mrs Gale), although it was originally intended to be the first of the Cathy Gale stories.* Even though it was reworked to function as a later case and appears later in the lineup, it still makes more sense if “Warlock” is construed as Steed and Cathy’s first case rather than one that comes later in their partnership, especially much later. In “Warlock,” they’re clearly still getting to know one another: Steed really has absolutely no idea what to do with Mrs Gale, who is unlike any other woman he’s ever met, and she is herself still trying to decide whether she likes working with Steed or not.
*Thanks to celluloidbroomcloset.tumblr.com for bringing this to my attention.