The map
Each colored country shows the political ideology of the first female leader. Extra dots show subsequent female leaders also colored by ideology.
The highlights
Margaret Thatcher was elected in May 1979 with the 43.9% of the popular vote to become the first female elected leader in Europe
Giorgia Meloni is the first female leader to be elected in Southern Europe.
Every Nordic country has elected at least one female leader. Estonia was the latest to do so with the appointment of Kaja Kallas in 2021
The data
Manual curation from the list of female prime ministers in Wikipedia (List of elected and appointed female heads of state and government) → here.
Disclaimers
I am not an expert in European politics and simplified quite a lot of diverse situations. Feel free to point out errors in the comments.
Leader is defined as elected main power, while this is normally the prime minister, for some semi-presidential republics, such as France, Ukraine or Serbia the main executive power is held by an elected president instead. These countries do have female PMs.
Interims were considerate as politicians that although had support of the parliament, they weren't the leaders of the party in the elections prior to their premiership.
The prime minister has not been appointed yet, but is highly expected considering electoral results.