The first Black slaves are recorded in Massachusetts.
Tensions had been growing between native tribes as well as between English and Dutch settlers. This manifested in the Pequot War in 1636, during which English settlers from Massachusetts and Connecticut fought to dominate the Pequot tribe. Once captured by the settlers, Natives actively resisted, so the settlers sent them away to trade for African slaves.
Black slaves may have existed in the colony before this time, but 1638 is when "two negro slaves...held by Mr. Maverick" are first recorded in the state. It is possible, though not certain, that the slaves arrived on a return voyage of the ship Desire, which was reported to have returned with "some cotton, and tobacco, and negroes, etc."
Like other New England cities, Boston played a large role in the slave trade business. Importing slaves and taxing them as goods were substantial sources of revenue.