The goat-song (Greek, tragos-ode). The song that wins
the goat as a prize. This is the explanation given by Horace ( De
Arte Poetica, 220). (See Comedy.)
The first English tragedy of any merit was Gorboduc, written
by Thomas Norton and Thomas Sackville. (See Ralph Roister Doister.
The Father of Tragedy.
AEschylos the Athenian. (B.C. 525-426.) Thespis, the Richardson of
Athens, who went about in a waggon with his strolling players, was the
first to introduce dialogue in the choral odes, and is therefore not
unfrequently called the “Father of Tragedy or the Drama.”
Thespis was first who all besmeared with lee,
Began this pleasure for posterity.
Dryden: Art of Poetry (Tragedy),
Father of French Tragedy.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894
More on Tragedy from Fact Monster: