While Thoth is often equated with Hermes, he seems to be more of a keeper of secret wisdom than a messenger.
Is there any such figure in Egyptian mythology?
Other than the little known Apt, arguably the closest direct Egyptian analog to Hermes would be the synthetic deity Hermanubis. Who is, as you might guess from the name, the result of combining of Anubis and Hermes. He only emerged in Ptolemaic Egypt however, so a little on the late side of ancient mythologies.
The combination was rooted in the role of Anubis as the conductor of souls, a trait he shares with Hermes. However Anubis was also the messenger of Osiris in the Book of the Dead, and, according to E. A. Wallis Budge, the "chief envoy of Ra". The ancient writer Apuleius likewise calls Anubis the messenger of gods, although that's probably the Roman projecting attributes from Mercury or Hermes.