This popped up in my youtube subscriptions last week but I've been much too busy, so AT LAST! Schoenberg conducts Mahler 2/2 with the Cadillac Symphony in Los Angeles in 1934. The occasion isn't mentioned in Stuckenschmidt's extensive biography though there's a brief mention of Schoenberg doing a number of one-off radio broadcasts at the time. Whether he did the full symphony or just one movement (not unknown practice then) I don't know, but fortunately this fragment was recorded.
Please also see the many other composer conducting composer clips I have on this site - Mahler playing Mahler on piano rolls, for example, Grieg playing Grieg, Debussy playing Debussy, even Webern conducts Schubert. (use search box at right)