The obvious Japanese mythological reference above, being the Trope Namer, from Momotaro.
From the same source, we have the demon brothers Fujin, the dark green-skinned god of Wind, and Raijin, the light red-skinned god of Thunder.
Areas of Asia that have been heavily influenced by Taoism tend to have "red oni" and "blue oni" analogues. In particular, traditional depictions of shishi (foo-lions or foo-dogs) tend to have "red oni"/"blue oni" symbolism based on Taoist concepts of yin and yang.)
The notion of "positive" and "negative" signs in Western astrology mirrors this trope as well. Peculiarly, in both cases, the Red Oni is referred to as "masculine" and the Blue Oni as "feminine".
Most descriptions of "Hero Twins" stories from Southeastern, Southwestern, and Mesoamerican Native American cultures generally consist of a "red oni" (usually a Wild Boy character coming from a clot of blood, raised in a jar, being part jaguar, etc. depending on the specific culture) and a "blue oni" (usually a "tame boy" character who largely goes along with whatever the Red Oni is plotting, though sometimes he objects).
The earliest recorded version of this are the Mayan stories of Hunhapu (Blue) and Xbalanque (Red) in the Popol Vuh and in Mayan stelas (some dating back to at least 200 CE and potentially even dating back to Olmec iconography), making this trope at leastOlder Than Feudalism.
The trope in relation to Mayan mythology gets a bit complicated as Hunahpu takes the initiative in the mortal world, but Xbalanque does in the land of the dead Xibalba; however, Xbalanque is more animalistic (in many depictions, being a jaguar Half-Human Hybrid), thus fitting more in the Red Oni role despite having turned into the Moon whilst his brother became the Sun. The Siouan, Cherokee, and Dine (Navajo) versions play the Red Oni/Blue Oni imagery rather straighter.
A better pairing that you don't have to squint to see is fire giant Loki, willing to pull nasty tricks on someone for momentarily ticking him off, and his sworn brother gray wanderer Odin, who holds his cards so close his chest, he ticks off all the other Aesir (except possibly Baldur).
In Greek Mythology: Athena is blue, Ares, Artemis and Aphrodite are red. Apollo is so blue that the blue oni personality is sometimes called "Apollonian." The Red oni personality is often called "Dionysian."
St. Peter was the Red Oni, St. Paul was the Blue Oni.