Step 1: Analyze the query.
The query seeks to identify the inaugural female prime minister of any nation.
Step 2: Evaluate each selection.
- Option A: Golda Meir served as Israel's initial female prime minister, not the global first. - Option B: Margaret Thatcher was the United Kingdom's first female prime minister, not the global first. - Option C: Indira Gandhi held the position of India's first female prime minister, not the global first. - Option D: Benazir Bhutto was Pakistan's first female prime minister, not the global first. - Option E: Accurate. Sirimavo Bandaranaike of Sri Lanka holds the distinction of being the world's first female prime minister.
Step 3: Determine the outcome.
The correct identification is Sirimavo Bandaranaike.
Final Determination: \[\boxed{\text{E}}\]