Super Mario: Die Bescherung
This comic published on the german Club Nintendo magazine, is about Mario, Luigi and Peach organizing a Christmas party, and its title roughly translates to "Super Mario: The giving out of the Christmas presents". The first page shows the trio buying presents and prepearing the party, while in the second page all their guests arrive. These are Yoshi, Toad, Mega Man and Pit.
After some celebration Mario leaves the house for no apparent reason, and after a while a person wearing a Santa Clause costume enters the room. Luigi and Link easly figure him to be Mario, but then Mario comes in revealing that the one in the Santa's outfit is actually Santa himself.
Super Mario: Die Verwandlung
In this comic published on the german Club Nintendo magazine, Mario reaches the laboratory of Dr Light from Mega Man, asking help to regain his normal look, since he woke up "pixelated". To solve the problem, the Doctor uses a machine to duplicate Mario and merge him back, but it fails and instead of another Mario, it creates Wario. Mario, Dr. Light and Mega Man chase Wario around, before trapping him and finally merging him back with Mario, making him return normal. The comic end with a phone call by Luigi who claims to have turned black and white.
An interesting note is that this comic seems to explain Wario's creation, but it is not canon because he's shown as a kid in Yoshi games, and oddly even in other Club Nintendo comics. However apart from other stories, this comic can't explain Wario's origin because it also shows his disappearing within the same story, so this can't even be the same Wario in the first place.
Super Mario: Mario im Wunderland
While not a direct appearance, Mega Man is cited in this Wizard of Oz spoof, where Kirby tells he'd like to look like Mega Man. In the end, once the characters meet wizard Crab, Kirby is turned into a Toaster, since the wizard apparently found it enough similar to Mega Man.
Super Mario: Verloren in der Zeit
May 1993 - February 1994
This comic was published in four parts on the german Club Nintendo magazine and its title translates to "Super Mario: Lost in Time". IT's about Mario traveling trough time and meeting various game characters.
In part 1 (published in May 1993) the evil Dr. Wily from Mega Man disguised as a mailman gives Mario a package containing an Alarm Clock, that's actually a device that sends Mario back in time.
He finds himself in the prehistoric age, where he meets Joe and Mac, who smack his head with their mace due to misunderstandings. After eating a Tyrannoburger at a restaurant, he meets a Yoshi-taxi, and is later chased by a Tyrannosaurus rex. He's able to defeat the dinosaur by taking a Fire Flower and turning into Fire Mario. He then uses the clock hoping to return home.
In part 2 (published in June 1993) Mario finds himself in the Viking age. The clock falls at the feet of Eric, Baelog and Olaf who accidentaly use it, teleporting them into present day New York. Mario is then forced by the viking's wives to do their houseworks, while the vikings end up arrested by the police. The village where Mario is working is attacked by a tribe of rival vikings, but he's able to defeat them all by eating a Super Mushroom and becoming giant. In the end the three vikings return to their time using the clock and, mad at Mario, throw it back at him, so he uses it once again.
In part 3 (published in January 1994), Mario finds himself on a planet named Hösndösn, possibly in the future, where the "Intergalactical Olympics" are about to take place. Unfortunately, the clock has arrived slightly before Mario, and two of the event organizers have taken it as the Trophy, so the only way for him to take it back is to win the olympics. Mario is able to beat all the competitors, including Plok and The Battletoads, and win his clock back. In the end he accidentaly activates it while celebrating.
In the fourth and last part (published in February 1994) Mario returns back at his home, but in an alternate, obscure reality. Figuring that Dr. Wily is responsable for all this trouble, he manages to enter his castle disguised sas Wario. There he meets an evil version of Peach, who orders the guards to arrest Mario. Mario is finally trapped by Dr.Wily, but then the alarm rings waking up Mario, revealing it was all just a dream.
Mario in Mariozilla
February - March 1996
In this two-part comic published in the german Club Nintendo magazine, Mario is put under a spell by Kamek, who tries to make him shrink, but instead makes him grow gigantic. To Peach's advice, Mario goes in New York to ask Dr. Light for help, but he's unable to do so, and Mario's only choice is to directly fight Kamek. During the fight Kamek's broom gets boken and magic power starts to automatically flow from it, shrinking both Mario and Kamek. Dr Light, Peach, Yoshi and Kamek's Toadies start searching for Mario and Kamek, but they get swallowed by Yoshi. Dr. Light is able to figure it, and after two hour of chasing, they're able to make him lay an egg. Inside the egg Dr. Light findss Mario and Kamek and finally makes them return normal using a special magnifying glass.
Mega Man Battle Network 3
December 06, 2002
In Mega Man Battle Network 3, Mario's clothes can be found on the wall in Yai's room.
Mega Man ZX
July 06, 2006
In Mega Man ZX there are two characters resembling Mario and Luigi. Like them, they also are brothers.
Super Mario Maker
September 10, 2015
One of the unlockable costumes that Mario can wear in the game by using a Mystery Mushroom is based on Mega Man, and it's unlocked in the 100 Mario Challenge mode or alternatively by using the Mega Man amiibo from the Super Smash Bros. series. It's based on Mega Man's sprite from the 8-bit games in the series, but scaled down to fit Small Mario's height, and when worn it replaces the sound effects with sounds from those games.
Being a Nintendo magazine, Club Nintendo had the right to write about not only first-party games, but also third-party games releaed on Nintendo consoles, so they could include elements from Capcom's Mega Man in their comics as well as from Data East's Joe & Mac, Blizzard's The Lost Vikings,Rare's Battletoads and The Pickford Brothers' Plok.
References to the Mario series in Mega Man Battle Network 3 and Mega Man ZX were possible since they're licensed games on Nintendo consoles.
The Mega Man costume in Super Mario Maker was likely made possible as part of the agreement that allowed the production of the Mega Man amiibo.