If they were still in the console space that assumes some of their previous consoles were more successful. First, I would say the 32X would have to have never existed, and second, the Saturn would have had to been better designed making it more compelling as a platform competitor to the new PlayStation. As the other CD platform, a competent Saturn would have most likely hurt Sony more than Nintendo.
This split of the market would have made PlayStation less popular and less dominant that generation as the N64 was the only other competitor. So for the next generation the PlayStation 2 would not have been as wildly popular either, potentially. But since Sega was more healthy overall from a successful Saturn, the Dreamcast would have been a completely different beast, as it was developed to quickly move to the next generation and was weak compared to the PS2 and GameCube.
This also means I could see Microsoft not enter into the console space with the Xbox, as Microsoft may have seen too much competition with Sega still being around.
So to answer your question, Xbox might not exist, PlayStation might not be so dominant right now, and consoles since the Dreamcast would be very different. I can see Nintendo being about the same since they march to their own drum. However it’s hard to predict what Sega would have done hardware-wise every generation. Since they have made so many bad decisions in the past, what would their alternate history of good hardware look like and how would they make the other companies react?