Street Fighter V - console exclusive
Final Fantasy VII Remake, - console exclusive
I believe the op emphasising console exclusivity and not including PC, but i could be wrong, there are quite a few, persona 5 royal, Guilty Gear Strive, fist of the north star; lost paradise, Noih 2, spiderman (released in 2018, still independent, 2019 brought out by sony), sukura wars yakuza 6, matterfall, nex fall, alienation, resogun.
Spider-Man and Resogun are first party BTW. But yes, I am including Console exclusivity in this.
Spiderman was released in 2018, the delevopers were still third party, they even released sunset overide on xbox one as an exclusive as well as song of the deep for ps4 and xbox one in 2016, but they were purchased by sony in 2019 and became first party
Resogun is third party, the developers is housemarque, not owned by sony