In the history of the Masters Tournament, dating back to 1934, there have only ever been three players to win the Masters in their first try.
The first was in the first-ever Masters Tournament, known then as the Augusta National Invitation Tournament. Horton Smith won that year in a playoff on 4-under 284. Naturally he was a first-time participant as there had never been a Masters previously. He wound up winning a second Masters title in 1936.
Gene Sarazen also won in his first appearance in 1935. In the final round, Sarazen holed a 235-yard second shot for an albatross on the par-5 15th -- referred to as the "shot heard around the world" -- to ultimately tie Craig Wood and force a 36-hole playoff. Sarazen won the playoff by five shots on even-par 144. This was the first year that Augusta National Golf Club played in the order we know today. In the prior year, the nines were flipped.
The only other Masters rookie to win the tournament was Fuzzy Zoeller in 1979. He finished regulation tied with Tom Watson and Ed Sneed on 8-under 280. Sneed carried a five-shot lead into the final round at Augusta National Golf Club, but he shot 76 in the final round, while Zoeller shot 70 and Watson shot 71 to force a playoff. The sudden-death playoff went two holes, with Zoeller beating Watson and Sneed with a birdie on the second playoff hole to become the first Masters rookie to win the green jacket (they didn't have them yet for winners when Smith won his two titles).
It is exceptionally rare for a first-time Masters contestant to win in their initial appearance. Augusta National requires a tremendous amount of skill and local knowledge to play well. There are breaks and undulations that first-timers don't understand, and many learn where they should and shouldn't hit the ball by trial and error. Still, in the modern era of professional golf, when young pros seem to come out quickly in their career and win majors at an earlier age, we are probably due for a Masters rookie to finally end the drought and win the green jacket.