If you want to argue technicalities, an external drive was available for the PS2 before the XBox launched. Microsoft was just the first to internalize it. And Sony was the first to make it user-replaceable with a non-proprietary interface (SATA).
And if you'll recall, the PS2 was available in Fat, Slim, and "Ultimate" editions (the "Ultimate" being the PSX that was only released in Japan, that had a big hard drive, DVR functionality, and a DVD burner).
But wait! The Nintendo 64 DD (also released in Japan only) had a hard drive before the PS2.
Darn Nintendo and their time machine, always copying Microsoft.
I love technicalities.
The DD didnt have a hard drive.
It was a disk drive. :3 The drive works similarly to a Zip drive, and has an enhanced audio library for the games to use. Though the carts were shaped like the Syquest carts. Maybe it was based off of Syquest. Dunno.
Sony was the first company to announce a hard disk option for their console, back in late 1999/early 2000 when the PlayStation 2 was coming out.
It originally was going to have an internal IDE controller, one spot for a 3.5" hard disk, and one PCI slot. Then it got changed to one PCMCIA card slot for the first Japanese models (SCPH-10001 series).
Then they reworked the design between the Japanese launch and the US/Europe launches, ending up with SCPH-30001 (God knows where SCPH-20001 is), which changed the PCMCIA slot into a Dev9 slot, and an empty bay for a 3.5" hard disk drive.
The hard disk connected to the network adapter, then to the Dev9 adapter. Sony didnt actually ship the hard disk in the US until 2004, with Final Fantasy XI, or you could get it in 2002 with the Linux kit, but that one you couldnt use for PS2, just for Linux.
The hard disk was shipping in Japan since May of 2001, alongside the network adapter. 6 months before XBox was shipping. In Japan, a ton of games used it as a cache drive, to speed loading times by installing frequently used data to the drive. Also helped to cut down on the laser usage.
The hard drive was killed because of the whole HD Loader software, then it wasnt also selling well. Its a nifty option, if you have a old style fat PS2, and a Network Adapter, I recommend browsing your game stores for one. Its great, as you can copy all your saves off your memory card and onto your PS2. You can hold on the HD over 5,000 memory cards worth of data.