I think the industry would be a better place, but that's just me.

Sega would've pushed online and Nintendo would've followed, so I don't buy the "only Sony/MS could bring online to consoles". Sega was already doing it with the Dreamcast before anyone else really.

Nintendo would be a different company too, more core-centric, because they wouldn't have to worry about having that market cannibalized by Sony/MS. 

While SEGA was no doubt an important figure that helped to shape the modern videogame industry, there's no denying that their overall software library took a noticeable drop in quality after the dust had settled from the 16-bit war. The Saturn's library was underwhelming and the Dreamcast had some real gems but not enough to sustain in long term.  And ever since they exited the console hardware market, they've only had a handful of quality titles while releasing dud after dud for the past decade-plus, usually with the word "Sonic" in the title.

Simply put, with today's consoles being on such even ground in terms of hardware, it's all about the games more than ever, and there's no way SEGA could sustain a console on first party titles alone the way that Nintendo can, and 3rd parties would be even more reluctant to thrown their hat in the ring with SEGA than they are with Nintendo these days.

Their asses would be handed to them by Nintendo, probably.

Nintendo>>>>>>>>>>>>>>>>Sega
My opinion.

Their game quality was still high until their studios were basically gutted like fish and they lost a lot of their employees. 

For example I think F-Zero GX is probably one of the best if not the best game on the GameCube. 

Saturn was a misstep, but Sega Master System, Genesis, and Dreamcast all had ace 1st party software and there's no reason to believe that wouldn't have continued if Sega had a place in the industry still. 

Sega was only able to match with Nintendo in the 16-bit era. Sega was almost unknown in the 8-bit and they failed to measure to the new times in the 32 and 128 era. They suffered with the Saturn she same that almost happened with the XBone, overconfidence in their market damaged their brand. However, MNicrosoft can take the inicial finantial hit and more, Sega couldn't and the Dreamcast paid for it. It could have sold better than the Xbox and the Gamecube if given the chance.

I don't think there is room for 4 console manufacturers. It would just be too competitive.

Sonic would be slightly less irrelevant than he is right now...

The world would be a better place.

If SEGA would still be VS Nintendo SEGA would be winning.