In Paper Mario: The Thousand-Year Door, Rawk Hawk reveals that he was behind the guards locking Mario and his party up in an abandoned locker room, as well as a poisoned cake before fighting the party (in order to dissuade them from challenging him). However, when the party claims that he must have been the one emailing the threatening messages regarding the crystal star, he doesn't know what they are talking about, and reacts in such a way that he is genuinely unfamiliar with the concept of Crystal Stars, meaning he was not behind the threatening emails. It was actually the emcee/promoter, Grubba, who was emailing the threatening messages, as he was using the Gold Star to retain his youth.
In Super Paper Mario, Peach is kidnapped at the beginning. Immediately, Mario and Luigi go to Bowser's castle to rescue her. However, it turns out that Bowser was in the middle of a rallying speech in preparation for invading Peach's castle and did not actually do anything yet.
In the opening FMV of the Nintendo 64 version of Mario Tennis, when Bowser arrives at the court, the other participants are understandably worried when he arrives, as they think he's planning to attack the tennis arena. However, instead, Bowser just challenges Mario to the tournament in a friendly fashion when he actually approaches Mario.
Inverted in Castlevania: Portrait of Ruin. When the main characters run into Death, they are already aware that the castle is being run by a vampire who isn't Dracula. Thus, while they accuse him of working with the new villain, Death is the one surprised to discover that his master isn't around.
Kirby often goes after King Dedede for whatever evil plot is going on, whether or not Dedede had anything to do with it. Indeed, in most games, he either doesn't have anything to do with it, is trying to fix it, or is being controlled by another entity, bringing up the question of why Kirby is so insistent that everything is his fault. Dedede is the champion of this trope. Let's look at the list of times he's the actual villain:
Kirby's Dream Land (1992). Playing the role of Evil Overlord to the point where Kirby just naturally assumes he's behind every crisis forever. But he's not to blame again until...
Kirby Super Star "Spring Breeze" (1996), a remake of Kirby's Dream Land. Okay, well he obviously has to be causing trouble again. And he does, eventually, in...
Kirby Super Star Ultra "Revenge of the King" (2008), another remake of Kirby's Dream Land. And his defeat is unambiguously played as a tragedy.
The worst example of this is in Kirby Squeak Squad. Kirby's cake is stolen at the beginning of the game by the eponymous gang of thieving mice, and Kirby immediately concludes that Dedede is responsible with no evidence.
Super Smash Bros. Brawl is another case of this. The villains are all running around turning heroes into trophies. Dedede captures several, and keeps them in his castle, placing badges on them. He runs out of badges, and reluctantly takes his own off to attach it to the final hero trophy. After the real villain, Tabuu, uses his ability to turn every single character into a trophy, the purpose of the badges is revealed: they restore a trophy to life after a time delay.
Dr. Wily claims this in Mega Man 9, citing a video as proof that Dr. Light is the one wanting world domination. He's lying.
He does it again in Mega Man 10 when he claims that the The Virus wasn't his doing, except Mega Man and co. actually believe him. This shouldn't really be a spoiler, but he's still lying.
Happens in Epic Mickey 2: The Power of Two: the Mad Doctor claims that the Beetleworx attacking you through the game aren't his doing. Turns out they come from Gremlin Prescott.Exceptnope: the Mad Doc's the culprit.
Happens in the Multiplayer Space Station 13. People assume that if you're the chemist, you're responsible for the the roiling cloud of thermite-napalm-superfoamsmoke that is destroying the station.
Sephiroth laughs at your party in Final Fantasy VII when you get attacked by a dragon in the temple of the ancients and think that he is responsible for it.
In Star Fox Assault, after Pigma steals the memory core, the Star Fox team fights Star Wolf in the Sargasso Space Zone because they think that they were involved in Pigma's recent theft and want them to hand him over. However, after the fight, Wolf reveals that not only were they not involved in Pigma's theft, but they actually kicked Pigma out of Star Wolf long beforehand, and went as far as to order a shoot on sight command in regards to Pigma should he ever attempt to arrive at the Sargasso Space Zone. They do nonetheless give intel on where he is most likely at, however.
In Avernum3, your party is trying to figure out who created the plagues of monster that are attacking The Empire. You can question the dragons, the Vahnatai, and the sorceress Erika, all of whom have grudges against the Empire and the means to create the monsters, but they all insist that while they hate the Empire with a passion, they have nothing to do with this. The vahnatai are lying.
In the last episode of the third season of Sam & Max: Freelance Police, The Devil himself shows up to refute any claims that the Devil's Toybox is in any way related to him. In fact, the Toybox predates the Devil by an order of magnitude and the object was named this way by mistake.
In Sly 2: Band Of Thieves, Carmelita believes that Sly is responsible for the theft of the Klockwerk parts. While Sly had been planning to steal them, the Klaww Gang stole them first.
Sly: Crime? I haven't stolen anything... yet.
In Dragon Quest II, you get to meet the Dragonlord's grandson, and he's even sitting on his grandpa's throne. However, the fact Charlock Castle looks like crap kinda disabuses you of the notion he had anything to do with the plot, and he's outright confirms it. In fact, not only does consider his and your families' pasts water under the bridge, he even considers Hargon a pretentious upstart and gives you some info on how to kick his ass.
Ratchet & Clank: All 4 One starts with Dr. Nefarious siccing a huge monster onto Ratchet, Clank, and Captain Qwark. After the monster is beaten, a massive spaceship appears in the sky, and as the four are staring up in wonder, Nefarious remarks, "That's not one of mine." just before they get abducted.
In Dragon Age II, we have an heroic example, when a member of the Qunari suspects Hawke of being responsible for the deaths of a heavily armed patrol sent to scout the Wounded Coast. Hawke remarks that they actually weren't involved for once, but are mildly flattered they're at the top of the suspect list.
If Loghain is recruited in Dragon Age: Origins he will mock Wynn's belief that he was behind the problems in the Chantry Tower, which worked purely against him. Of course, he wasThe Man Behind the Man in that plot. Uldred acted and tried to usurp control of the Circle specifically because he wanted to align the Circle to Loghain.
Batman: Arkham City invokes it for all its worth. Batman learns Hugo Strange is planning something called Protocol Ten, and assumes The Joker is involved, partly because he's one of the top gang leaders in Arkham City, partly because he tried to kill Catwoman, but mostly because, well, he's the Joker. After learning of Joker's Evil Plan, we have this exchange:
Batman: So that's Protocol Ten. Poison Gotham. I expected more. Joker: Protocol Ten?! *dramatic gasp* ...never heard of it.
In the fourth case of Ace Attorney Investigations, Edgeworth suspects that Manny Coachen was responsible for killing Byrne Faraday, as Byrne had prosecuted him for killing Cece Yew (and he was almost certainly guilty, but got off because the decisive evidence was missing), but Detective Badd says that while Coachen attended the day's trial, he was being watched by the police the entire time, giving him an alibi.
The first case of Investigations 2 involves an assassination attempt on a foreign president. A witness is involved who is very clearly the assassin Shelly De Killer. He denies he had anything to do with it. He's telling the truth, though he had planned to kill the president before things went out of hand. The president's assassination was actually staged, and De Killer was the only witness in the case who wasn't in on it.
In Danganronpa, Genocider Syo is both a Serial Killerand Touko Fukawa's Split Personality. However she did not muder Chihiro Fujisaki and then creepily crucify their lifeless body, despite how the evidence does point out at her. It ultimately turns out that it was Togami's doing, as he knows who the real killer is but has an ulterior motive. It gets lamsphaded by Ishimaru.
Ishimaru: I have no idea what's going on anymore...! Could such a heinous villain really be innocent!?
In Mass Effect, whenever the human supremacist organization Cerberus is caught doing something particularly nasty, the Illusive Man will usually respond with the excuse that it was a rogue cell in the organization operating without his approval. Almost nobody ever believes this. However, in the third game, when a Cerberus force is found wantonly slaughtering human refugees, Hackett notes that the Alliance is, for once, inclined to believe him. The Illusive Man is very much a Pragmatic Villain: he only does something if he thinks he will gain something from it, and killing off fleeing human refugees is of no benefit to him. Also, while it's never brought up again, several plot points make likely that the Illusive Man is indeed responsible.
In Kid Icarus: Uprising, Hades does this twice in the story, stating that he had nothing to do with the Aurum (and he even joins in on the fight against them) and later showing up when Pit is dealing with the Chaos Kin just to say that he also had nothing to do with this as even he had no way of controlling it.
Luminous Arc: Every time the player party bumps into Vanessa, they assume she's up to no good even before she attacks them, even when they happen to stumble onto her having a quiet drink at a bar. At no point is she ever up to anything villainous when they cross paths, and she's been framed for what atrocities she was present for. She starts fights because that's how she solves problems, and she knows the party will never believe her side of the story anyway.
At one point during the main quest of The Elder Scrolls V: Skyrim, Delphine suspects the Thalmor are behind the recent reappearance of dragons. In search of information, the Dragonborn infiltrates a party being held by Thalmor diplomats, causes a good bit of havoc and death and finds that no, the Thalmor aren't responsible at all, and are in fact conducting their own investigation to see what's going on (and to find out if someone's trying to use the dragons against them).