Yes this is happend before...

Nintendo:

Wii/ gamecube/ds/gba micro
N64/gamecube/gb color/gba
snes/n64/gb color/gba

Sega:
Genisis/x32/sega cd/gamegear

The last GBA game was Samurai Deeper Kyo released February 2008.
The last Gamecube game was Madden 08 released August 2007.

During these years Wii and DS were thriving.

Although technically I would have considered GBA to be dead after the release of FF6 advance, which I believe was 2006, and Gamecube dead after Twilight Princess, also in 2006. I would have considered PS2 dead in 2008 after the release of Rock Band, which was its last significant game - this year there was only one game released on it, Fifa 2012 which came out in September.

Gamecube was dead before Wii was released, IIRC twilight princess was the last game released on the system and then its release was delayed for a Wii version (though i may of missed some ports of PS2 shovelware). 

Anyway does it really matter who is first? SONY and Nintendo won't be supporting 4 systems for long, soon the PS2 and PSP will be dead and discontinued and the same goes for the Wii and DS.

Was the Sega CD not an add-on that plugged into one of their other consoles? Or am I thinking of something else?

No, it dosen't matter who was first. I was just curious if it had been done before or not.

both of you are wrong. DS,DSi, AND DSXL are platforms that support the same games, so they're more like remodels then different platforms. Different models for different taste.

3ds is a separate platform like psp a psvita. you can't play 3ds games on ds or the other models, and modifications or peripherals are not consoles.

Sony will be the first with 5 consoles when PS4 releases.

Wrong? How? They have 3 systems on the go at the minute, DS, Wii and 3DS. All the remodels fall under the DS catergory.

Intersting statement stating that Sony will be the first with 5 consoles. When do you think Sony will launch PS4 and how long will they continue to support the PS2?

DSi and DS were different platforms - but DSi and DSi XL were the same platform. DSi had exclusive games available at retail, and also exclusive downloadable games - although, people bought DSi for the DS platform, so it doesn't really count in that respect - no retail DSi game was major - so for its intended purpose, DSi is more or less a DS with extra features and platforms available.

Year 1995 - Sega Saturn, Sega Genesis, Sega Game Gear, Sega CD, Sega 32X.

If its got its own game format and a separate AC adapter, its a standalone game system.

It happened before, just not with system as old as the PS2.