A natural connection with torsion is defined, and it is called the first natural connection on the Riemannian Π-manifold. Relations between the introduced connection and the Levi–Civita connection are obtained. Additionally, relations between their respective curvature tensors, torsion tensors, Ricci tensors, and scalar curvatures in the main classes of a classification of Riemannian Π-manifolds are presented. An explicit example of dimension five is provided.