Perusing the Radioactive Thermoelectric Generator or
rtg tag in Space SE will show how important these items are for Space exploration both as a source of heat to keep spacecraft instrumentation warm, and to power the thermoelectric generators for electricity. The Curiosity rover on Mars uses it's RTG for both and includes a fluid circulation system to heat (or cool) various sections.
RTG's most often use an alpha decay source like Plutonium-238 or perhaps in the future Americium-241) rather than a fission source, to minimize longer range radiation that can damage the spacecraft.
Question: I'm not sure if the self-heating of a radioactive sample was first noticed then explained, or predicted and then demonstrated. But in either case, when was a measured or even noticed temperature rise first documented or reported?