Notes:

There are most likely some errors I made, so feel free to point them out, and I might make an updated version.

I structured this like an IF THEN command; first I checked if a character appeared in a full anime series, then put them there if they did, if not, I check if they appeared in an OVA/movie, then put them there, finally I check if they appeared in a manga. I did it this way because I feel a character/licensed property is more likely to get a manga adaptation before getting an anime of any kind.

I only counted stuff made in Japan, and ignored anything live action, or anything Japan wasn't directly involved with.

Here's a reference list:

ANIME
Kirby characters: "Kirby: Right Back at Ya!"
Pokémon characters: …do I really need to explain this one?
Captain Falcon: "F-Zero: GP Legend"
Sonic: Sonic X
Pac-Man: Pac-Man and the Ghostly Adventures (always assumed this one was made solely in the West)
Ryu & Ken: Street Fighter II V
Joker: Persona 5 the Animation

OVA/MOVIE
Mario characters: "Super Mario Bros.: Peach-hime Kyushutsu Dai Sakusen!"
Yoshi: "Super Mario World: Mario to Yoshi no Bōken Land"
Fox & Falco: "Star Fox Zero: The Battle Begins"
Marth: Fire Emblem (OVA based off Mystery of the Emblem)
Pit & Palutena: Palutena's Revolting Dinner
Wario: Mario Kirby Meisaku Video (this one is bit of a stretch since this appears to be more like a slideshow rather than an actual animation, otherwise Wario appears in the Super Mario-Kun manga)
Pokémon Trainer (Red): Pokémon Origins
Olimar: Pikmin Short Movies
Villager: Dōbutsu no Mori (if you don't count this, then there were several Dōbutsu no Mori manga)
Mega Man: "Mega Man: Upon a Star"
Cloud: "Last Order: Final Fantasy VII" & "Final Fantasy VII: Advent Children"
Bayonetta: "Bayonetta: Bloody Fate"

MANGA
Donkey Kong characters: Donkey Kong (CoroCoro Comic)
The Legend of Zelda characters: The Legend of Zelda (VIZ; each volume is based off a different game in the series)
Metroid characters: Metroid (Magazine Z)
Dark Samus: "Metroid Prime: Episode of Aether"
Mario characters: Super Mario-Kun
Fire Emblem Awakening characters: Fire Emblem Awakening (Nintendo Dream)
Roy: "Fire Emblem: Hasha no Tsurugi"
Pokémon Trainer (Green/Leaf): Pokémon Adventures
Corrin: "Fire Emblem if: Niberungu no Hokan"
Inkling: Splatoon (CoroCoro Comic)
Isabelle: Tobidase Dōbutsu no Mori Minna de Seseragi Mura Life