Technically Alice Krige is the first one as she appeared in First Contact the movie first. Susanna Thompson appeared in Dark frontier and Unimatrix Zero. Krige was brought back for Endgame.
So yeah, they're meant to be the same character pretty much. Guess you could argue there are variations since the Borg Queen "dies" frequently after all. Thompson's version seems more.... insane and pettily vindictive while Kridge is more darkly aloof.