Find the first element that satisfies condition X in a Seq

You should use find method on sequences. Generally you should prefer built-in methods, because they might be optimised for a specific sequence.

Console println List(1,2,3,4,5).find( _ == 5)
res: Some(5)

That is, to return first SimpleDateFormat that match:

 val str = "1903 January"
 val formats = List("MMM yyyy", "yyyy MMM", "MM yyyy", "MM, yyyy")
   .map(new SimpleDateFormat(_))
 formats.find { sdf => 
      sdf.parse(str, new ParsePosition(0)) != null
 }

 res: Some(java.text.SimpleDateFormat@ef736ccd)

To return first date that has being processed:

val str = "1903 January"
val formats = List("MMM yyyy", "yyyy MMM", "MM yyyy", "MM, yyyy").map(new SimpleDateFormat(_))
val result = formats.collectFirst { 
  case sdf if sdf.parse(str, new ParsePosition(0)) != null => sdf.parse(str)
}

or use lazy collection:

val str = "1903 January"
val formats = List("MMM yyyy", "yyyy MMM", "MM yyyy", "MM, yyyy").map(new SimpleDateFormat(_))
formats.toStream.flatMap { sdf =>
   Option(sdf.parse(str, new ParsePosition(0)))
}.headOption

res: Some(Thu Jan 01 00:00:00 EET 1903)