Metroid has enough (mostly from Manga) for a page.
The manga adaptation of AkaSeka introduces characters not seen in the game, which include the family of the (now named) heroine.
Traditionally there are four Saint Beasts as was the case in Angel Tales with Goh, Shin, Rey and Gai filling these roles. When Angel Tales spawned a rather different spinoff, Saint Beast, Judas and Luca were created to be the main characters and the Saint Beasts became six instead. Also, instead of the goddess, Zeus became the head god of heaven.
In the anime adaptation of Black Cat, all 13 of the Chronos Numbers appear, including the three (Emilio, Anubis and David) that do not appear whatsoever in the manga.
The adaptation of The Caligula Effect gives us Shingo Tachibana, a real-world coworker of the protagonist (who in the game has a Multiple-Choice Past). He's introduced late in the anime, but ends up playing a major role in Ritsu's development.
The anime features several supporting characters who never appeared in the manga: Meiling, Maki Matsumoto, and Wei.
In the manga, there were only nineteen Clow Cards, while the anime has fifty-three (fifty-two in the anime, plus the Nothing from The Sealed Card movie). The two original Sakura Cards, the Nameless and the Hope, are also anime-only.
Code Geass has several due to its various spinoff manga and video games, including literal Evil Twins Castor and Pollux from the Nintendo DS game; Rai, the protagonist of the Visual NovelLost Colors; Mariel, Suzaku's Love Interest in Suzaku of the Counterattack; Nunnally's best friend Alice and the other Irregulars from Nightmare of Nunnally, and more.
In Demon Slayer: Kimetsu no Yaiba, the Spider themed demon, Rui, has a need to violently force demons weaker than him to join his inner circle, making them go along with his fantasy of being a family, in the manga only Father, Mother, Brother and Sister demons were introduced, the anime adaptation expanded Ruis pretend family in a flashback, with more members to show how cruel he can be to those demons who dont play along with his illusion.
Speaking of which Broly and his father Paragus become Canon Immigrants in the latest movie. Though their characterisation and background is rewritten by Toriyama.
Frieza's Son, Kuriza and his ancestor, Chilled, Could both count as this since they only appear in spin-off mangas that happen in the same universe.
The Fatal Fury anime movies had Lily McGuire, Tony and his mother Elsa in the TV specials, as well the Gaudeamus siblings Sulia and Laocorn, Panni, Hauer and Jamin in The Motion Picture.
Lily does make a cameo in the Mexico stage of The King of Fighters '94 (alongside other SNK characters), and, as they were love interests and Lost Lenores to Terry in their respective appearances, both Lily and Sulia are mentioned by him in Days of Memories, an AU Dating Sim series featuring several SNK IPs.
Joker, Shin's anime only Dragon, who was enough of an Ensemble Dark Horse to have a canon expy (in the form of Jakoh), and to be one of the few anime-only characters acknowledged in the conclusion of the series.
Garou, Ryuga's fiercely loyal right hand, who reveals Ryuga's location and motivation to Kenshiro after his defeat.
Shion, the brother and first lieutenant of Hyui, who acts as informant between the Wind Brigade and Rihaku.
Fullmetal Alchemist: Brotherhood introduces a brand-new Anti-Villain for the first episode; Isaac McDougal, the Freezing Alchemist, who mostly just exists to establish the setting, and drop loads of Foreshadowing.
F Zero GP Legend has Rick Wheeler, Lucy Liberty, Luna Ryder and Lisa Brilliant. All of them achieved Canon Immigrant status soon after, being playable in the GP Legend video game adaptation, as well as Climax.
The anime adaptation of Granblue Fantasy introduces a new character, Aaron, as a childhood friend of Gran. However, Aaron only remains in the island of Zinkenstill and does not follow Gran in his adventure.
In the one-shot manga to Heat Guy J, Team Clair is given an Expy of Team Daisuke's Motherly Scientist, Antonia, in the form of a scantily-clad Dark Chick by the name of Trinity. She appears to be in some kind of rivalry with Antonia regarding who is better at robotic engineering, and shares some kind of relationship with Clair, though neither her rivalry nor her relationship are really expounded upon. The anime does not help, as Trinity does not appear in the anime.
The Heavy Object anime gives us Klondike, the pacifistic religious figure from the Faith Organization.
Inuyasha has a few. Ayame, a wolf-demon girl and supposed bride-to-be to Koga; Akitoki Hojo, a past ancestor of one of Kagome's classmates. Kagome's friends, Eri, Ayumi, and Yuka, could also be considered as such. While they appear in the manga only one of them (Eri) is named and they hardly have any parts to play as opposed to the anime where they're used for many a filler.
Marvel Anime: X-Men had Yui Sasaki and her son Takeo, who essentially acted as Japanese versions of Moira MacTaggert and David/Legion. There were also a few minor characters like the U-Men member Kick and Hisako/Armor's best friend Kyoko.
Mazinger Z: Go Nagai created Mazinkaiser at the behest of Banpresto in order to give Kouji Kabuto an upgrade for the Super Robot Wars franchise; he subsequently introduced the machine to his canon of works. Several years he created Mazin Emperor G, a "Kaiser" version of Great Mazinger, again for SRW. As of this writing Emperor has yet to filter back into Nagai's canon, but given his fondness for such things it's probably just a matter of time.
The numerous anime that drew from Negima! Magister Negi Magi surprisingly do not add a lot for all of the changes they make; the most well-known immigrant was the demonic king that made a Deal with the Devil with Asuna, which ends up in her death from the 2005 anime adaptation.
The Ninja Gaiden OVA gave Irene an Intrepid Reporter best friend named Sara, while Robert had a partner at his detective agency named Jeff. The Big Bad Bucky-Wise, as well as Katherine and her dad, were also created for the OVA.
Of Ash's friends, Tracey is the only one with no game equivalent unless one counts the player character in Pokémon Snap to be him and not just a similarly designed shoutout or as one of the opponents in Pokémon Puzzle League, which is a Dolled-Up Installment of Panel de Pon. Max is a borderline example as he seems to be based on an NPC who appeared in Pokémon Ruby and Sapphire, but goes nameless there.
Pokémon Journeys, aka the series that debuted alongside the release of Pokémon Sword and Shield, is notable to have a supporting cast consisting of original characters.
Pokémon manga in general have many characters who aren't counterparts to anyone in the games.
The anime adaptation of The Powerpuff Girls, has quite a lot of characters who weren't present in the original cartoon, the most notable ones being Professor Utonium's son Kitazawa Ken and the monsters created by the black light other than the girls' normal Rogues Gallery.
The short-lived manga version in turn has some characters that never appeared in the anime: Natsuki, a boy Momoko/Blossom has a one-sided crush on, and Alpha and Beta, a pair of androids who start off as villains before having a HeelFace Turn after learning that two scientists created them to be their children.
Puella Magi Oriko Magica uses this heavily, with Oriko, Kirika, and Yuma, the inhabitants of a mystery timeline where the titular character decided to muck with the events of the series. The question of what happened in the other timelines would eventually be answered in a spinoff starring only Canon Immigrants.
Sasuke Sarugakure, the ninja servant of the Kunō family in the Ranma ½ anime, is at least a semi-regular character who never appears in the original manga. On his first appearance, he did the actions originally done by Gosunkugi, a character oddly removed from the anime at first, and introduced much later. There are a number of other anime-only characters, but few of them appear in more than one episode.
The Rebuild of Evangelion movies feature two Angels not seen in the original TV series. There's the snake-like Third Angel that Mari faces at the beginning of the second film, as well as the unnamed clock-like Angel that Asuka curb stomps during her debut. Several brand new Angels also appear in the third film after the Time Skip.
Barasuishou, the second Big Bad of the Rozen Maiden anime, who replaces the manga's Kirakishou. Well, not entirely...
The Aliens and the Makaiju in the first arc of Sailor Moon R, the similarly themed Fiore in the Sailor Moon R movie and Perle & the villains from the Sailor Moon SuperS movie. Also Yūichirō, Rei's love interest.
Homura, the Big Bad of the second season of Gensoumaden Saiyuki, and his two henchmen, Zenon and Shien. Homura didn't make it to Canon Immigrant status, but original manga-ka Minekura Kazuya did write and illustrate an Omake chapter about him.
Zerofuku, the original form of the Seven Lucky Gods. Nowhere in Japanese Mythology is there any mention made of the Seven Lucky Gods having once been one being, making him a completely original character to the manga.
The anime adaptation of Slayers has quite a few of these, with the standouts being Zangulus from the first season, Martina from the second, Filia, Valgaav, his henchmen, and the guardians of the Black Orb from the third, and Pokota from the fourth and fifth.
The manga adaptations that branched off even further from the novel canon also has these, namely Lyos from Knight of the Aqualord and Noah and Ranzam from Hourglass of Falces. There's also the video games, with Lark and Rynnea from the Royal games and Demia and Viola from Slayers Wonderful.
The rarely seen Sonic the Hedgehog released by Shogakukan in 1992 also had some canon foreigners of it's own. Aside from the three main characters of the games at that time, it also featured Nikki as an ordinary version of Sonic, Nikki's family (Anita, Brenda and Paulie), Little John, Anton, Madd, Amy, and Charmy.
Sonic X featured more Canon Foreigners than characters from the games. Most notably are the Thorndyke family, Eggman's crew, Cosmo, and the Metarex, aliens led by Dark Oak.
Star Ocean: Till the End of Time: Pierre and his big sister, Kurin, are exclusive to the manga adaptation. They're a child duo of bounty hunters from the Sanmite Republic, who are initially minor antagonists to Fayt, Nel, and Cliff. But they eventually seek Pierre for his ability to control beasts, to help them capture Crossel.
Kiyone from Tenchi Muyo! was added in the TV version as a Straight Man foil for Mihoshi. She has since become one of the more popular cast members, but never featured in the original OVA canon, where her name is used for a completely different character.
She has a counterpart in the third OVA in Noike; the green-haired, no-nonsense former partner of Mihoshi.
She is also in the semi canonical Mihoshi Special (Which in canon is Mihoshi telling a story which may or may not be based on real events) and the movie Daughter of Darkness which takes place in the OVA continuity. Or rather, a version of the OVA continuity that spins off after the first 13 episodes.
The Tengen Toppa Gurren Lagann manga introduces Nia's eldest sister, Princess Straea, who was discarded many years ago only to have chosen to serve her father by running the all-women village for him, and now wants Nia to take her place.
Trigun: Several one-shot villains in the first half of the anime, a few of which even wound up making cameos in the manga, most notably Descartes. Gung-Ho Guns Caine the Longshot and Chapel the Evergreen are exclusive to the anime (although Chapel does have an equivalent in the manga).
The Ultima manga introduces the Dragon Warriors Aida, Bigelow, Genji, and Lennon, in The Terror of Exodus, Deane and Shiva, in The Quest of the Avatar, and Susadora and Vitor, in The Fall of Magincia.
Siritahi is also exclusive to the OVA and is a lab technician at the Jahana Research Facility, who provides Damian with medicated injections to help him control his alter ego.
The Old Man and the mute girl with him aid Yuka, by saving her and her friends from Damian in the second episode. Then imparts her with words of wisdom to help her find the strength she'd need to save Satomi.
Washio serves as Reimi's personal aide and adjutant, who helps her by uncovering the goings-on at the research facility. Which is how Reimi learns that Damian's been secretly working for her mother.
In The World is Still Beautiful there is the council of elders that Livi always consults - they do not exist (or are at least never shown) in the manga while in the anime they often appear and have no real role other than be the Plucky Comic Relief. Nike's retinue of maids might count as well, as while she was attended by maids in the manga, they were not given distinctive designs, unlike the trio shown in the anime.
In the X/1999 movie, Shougo Asogi was created to fill the until-then empty space in the Dragons of Earth (since Kakyou Kuzuki hadn't appeared) and use the Kill It with Water powers that Yuuto wouldn't show off until much later.
Yu-Gi-Oh! has many, but one of the most notable would be Noah Kaiba; the character would be the actual son of Gozaburo Kaiba (Mokuba and Seto's foster father), who conveniently died right before Mokuba and Seto arrived at the Kaiba manor. He also looks a lot like Seto (more specifically, he looks like how Kaiba did in the Death-T arc of the manga as well as the Toei anime, right down to the white clothes and green hair), even though they're not blood-related.