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Now I haven’t played them all, but here is how I would call it:
Nes: Mario - Super Mario Bros 3 alone is just way ahead of both Zelda games, even if Zelda 1 is great. The original SMB is great too.

Gameboy - Zelda - Easy, The Mario Land games are perfectly fine, but the Zelda games can hold their own against the series highlights. Haven’t played Oracle of Ages yet though.

SNES - Mario - Maybe controversial, but I think both got better games on NES. Still Super Mario World is still my second favorite 2D Mario, while there are at least two 2D Zeldas I prefer to ALttP.

N64 - Zelda - God, this was the hardest. Ocarina and Mario 64 are both among my very favorite games. I barely played Majora, so don’t know how well it holds up, but the fact it exists breaks the tie.

Gameboy Advance - Zelda, I guess. Never owned the system or played any of these games. But since it actually got an original Zelda, but no Mario, Zelda wins by default.

Gamecube - Zelda. I did not play a lot of Sunshine, wasn’t captivated by what I did play, and found the idea quite unappealing. Now I unfortunately also find The Wind Waker extremely overrated, I feel it mainly got its strong reputation from its charming visuals rather than the actual gameplay. Twilight Princess is a masterpiece though and wins the match for Zelda.

DS - Ehh, Mario? - Neither are really that good, but would rather play NSMB again.

Wii - Mario - I actually prefer Twilight Princess to both Galaxy games, and I am also a Skyward Sword defender, but since Twilight Princess is shared with Gamecube and the Galaxy games are still better than Skyward Sword, plus NSMB Wii is good in its own right, I gotta hand it to Mario.

3DS - Zelda - 3D Land is good, but ALBW is a series highlight.

Wii U - Zelda - Difficult one. 3D World is awesome, BotW is a masterpiece but launches simultaneously on Switch. NSMB U and Mario Maker are of course also really good, but I don’t think I can count the latter any more than the great Zelda remasters. Switch version or not. BotW is still a Wii U title, hence Zelda wins.

Switch - ? - Never had one. BotW could win it for Zelda, just for its impact, but would be too unfair of me to call without having played all the other games.