1. According to Karkuxor, Sheogorath appeared by the end of the War of Ehlnofey in Dawn Era - "Contemporary sources indicate that his roots are in Aldmeri creation stories; therein, he is 'born' when Lorkhan's divine spark is removed. One crucial myth calls him the 'Sithis-shaped hole' of the world.".
2. If we speak of chronicles, then 1E 1300s are the first time Sheogorath was mentioned in written history - "the wickedness of the demons of Oblivion... their depravity equals that of Sanguine itself, they are cruel as Boethiah, calculating as Molag Bal, and mad as Sheogorath." Hale the Pious thus long-windedly introduced four of the Daedra Lords to written record".
3. If we speak of the phenomenons associated with the Daedra, then Sheogorath could have appeared after the Velothi Exodus of the Late Middle Merethic Era. Since Malacath is the God of Curses, thus Jyggalag could not have been cursed by the Daedra Lords without Malacath and thus before Boethiah slew Trinimac thus turning him into Malacath.
4. According to the Commentaries on the Mysterium Xarxes Book Four by Mankar Camoran, Jyggalag could have been transformed into Sheogorath in times of Lyg - "All will change in these days as it was changed in those, for with by the magic word Nu-Mantia a great rebellion rose up and pulled down the towers of CHIM-EL GHARJYG, and the templars of the Upstart were slaughtered, and blood fell like dew from the upper wards down to the lowest pits, where the slaves with maniacal faces took chains and teeth to their jailers and all hope was brush-fire.".
5. According to the Hetchfield's theory stated in his An Overview of Gods and Worship in Tamriel Sheogorath could have appeared as a personification of madness in the times the First Daedra worshippers appeared - "It has been theorized that gods do in fact gain strength from such things as worship through praise, sacrifice and deed. It may even be theorized that the number of worshippers a given Deity has may reflect on His overall position among the other Gods. This my own conjecture, garnered from the apparent ability of the larger temples to attain blessings and assistance from their God with greater ease than smaller religious institutions.".
It could have been either the Chimer who built the Bal Fell and Ald Redaynia shrines to Sheogorath (read further here) or, according to Phrastus, the Ayleids, who did not make any difference between the Good and Bad Daedra and thus, I think should be older in their affiliation to Oblivion than the Chimer - "Unlike the Chimer, the Ayleids made no distinction between "good and bad" Daedra—indeed, even some of the more heinous Princes received mass veneration, especially when their worship was adopted and endorsed by Ayleid kings and aristocrats.".

Choose whatever option you personally believe in.

JohnOfMarkarth wrote: »

Cygemai_Hlervu wrote: »

Since Malacath is the God of Curses, thus Jyggalag could not have been cursed by the Daedra Lords without Malacath and thus before Boethiah slew Trinimac thus turning him into Malacath.

Malacath is a god of curses. But its never said that curses did not exist at all before him. To further drive that point... He was cursed. Therefore curses existed before he became cursed.
Cant go the way of "he be the cursed god of curses before whom curses did not exist"
... its a "Chuck Norris was born in a house he himself built" paradox


(Also to note is that Alt/dmeri creation myth is as probable to have happened as is Argonian one or Nordic one. It really is doubtful that it is them whom hold the entirety or even majority of truth)

"He was cursed", "Never said that curses did not exist before him", "Therefore curses existed before became cursed".. Ok, if you don't mind, let me clarify that point 3 of my message to the OP you quoted through these 4 points below to make things more clear and show you that all of your three statements are based on theorizing and are a bit incorrect:
1. Something I ask you to keep in mind while you read this reply. That was just one of the 5 possible versions. I also wrote it clearly up there - "Choose whatever option you personally believe in". If you don't believe in the Altmeri creation myth - it is your right. I don't believe it either ! Nonetheless, all I did there was providing all the versions and sources the OP could choose from.
2. Now on to your statements. There are no sources stating that Malak was cursed . Perhaps, they will be created in future, or you might know some of them I've been unaware of? Then provide them, please. Anyway, it is said, indeed, that his followers were cursed, but not Malak himself - "Trinimac faded and was reborn as Mauloch, the God of Curses. With his mind bent on revenge, his most devout followers changed to match him and became the Orsimer, cursed to wander in exile, a people without a place".
3. According to the Mauloch, Orc-Father, it was Malak who cursed Boethiah, not vice versa - "Mauloch, the God of Curses, rose from the ash and cursed Boethiah for his malice". All Boethiah did was he "gloated and cast a terrible ritual to scar and twist his appearance, then cast him to a place of choking air and ash" - if you think that was Malak's curse, then, well, it's your perception only, because, first, it's never mentioned there that it was a curse indeed (unlike Malak's one towards Boethiah), and secondly, if you read the Lord of Souls by Greg Keyes, you might remember Malak's own words that people are often too literal-minded in their perception of his transformation process. So, your statement that Malak was cursed himself is very speculative.
4. According to the Elder Scrolls V: Skyrim: Prima Official Game Guide (it's a UESP description link only, you also won't find any suitable link to download a pdf of that wonderful book, so here I give you a direct link to it's online version with all the text and pictures and even the exact page 293/660 I reference here to), Malak is called literally the Creator of Curses. Should I prove that a creation does not exist before it is created? Well, the Elder Scrolls, the in-game items, are the only evidence of the opposite I'm aware of, should you nonetheless ask me to do that silly thing . In normal cases, if curses existed before Malak, the God of Curses, then, please, provide some sources showing that a certain case definitely happened before the time of his transformation. It is more the matter of chronology, so I'd also appreciate your commentary on what chronology you used to support your statement - Aicantar's, pre-ri'Datta one, Orcish, some theoretical like the New Elven one, etc. In my post above you argued with, I used the most common traditional Altmeri chronology.