I'm just going to make a guess at the timeline, and I'd love to hear any corrections from y'all on how exactly the lore-writing played out. (Also, I don't think anyone except Bethesda is truly sure how much they know of what they're doing and how much of it is just being made up as they go along, so maybe a more accurate threadname would be "When did they introduce what lore"?)

From what I understand, Arena only introduced the setting of Tamriel at its most basic. Hammerfell is a desert, Skyrim is the frozen northlands (every fantasy setting has one), Argonians are lizard-people, etc. It also introduced the history of Tiber Septim uniting Tamriel and forming the Empire, Uriel Septim VII's reign and of course the Imperial Simulacrum. Some basic backstory around the artifacts that mentions the figures associated with the artifacts, although the only gods mentioned are Auriel and the "dark elven goddess" Boethiah. It was this early on that the dwarves were described as long disappeared, and dragons were mentioned in the flavor text, like with Fang Lair. Questions: was Cyrodiil considered a jungle in this game, or was it simply never described and very vaguely represented? Were any Emperors other than Tiber and Uriel mentioned?

They built on the lore a lot with Daggerfall - it was the first TES game to have in-game books, and between them and the quests the lore was described, although it was still "generic fantasy" at this point. Guilds for fighters and thieves (and the Dark Brotherhood) were written in, important events in the Third Era (the War of the Red Diamond, the Camoran Usurper, etc), the Psijic Order, and of course tons of great history on High Rock and Hammerfell. Most importantly, I think, is the introduction of the Nine Divines and the Daedric Princes, although I don't think the term "Aedra" existed at this point. Some other gods either faded into obscurity (Ebonarm, Sai) or were associated with other pantheons (Jephre/Y'ffre), and the basic ancestor worship of the Psijic Order was explained. A few of the mystical towers - the Crystal Tower, the Adamantine Tower, the Ceporah Tower on Artaeum (does that count as a capital T Tower?), and I think the White Gold Tower of Cyrodiil. I don't think Lorkhan existed at this point, but there were two moons (not sure if they were given names by then).

It was about the time they started work on Redguard and Morrowind that the lore really became "Elder Scrolls". Was the first edition of the Pocket Guide to the Empire released with Redguard, or Morrowind? Aside from that, most of the metaphysical concepts and major religions/pantheons in Tamriel were established at this point, not to mention basic histories for each province, and the beast-races of Khajiit. I've got to give them props for how well they tied in the existing "generic" lore: Tharn's betrayal and the Imperial Simulacrum are a clear inspiration for the Enantiomorph concept, how they played up the disappearance of the dwarves (semi-retconned into steampunk elves that weren't even short) and Numidium's time-breakiness, even CHIM has some roots in pre-Redguard lore. I like to think Nulfaga has some connection to the Bretons of the Western Reach; the names of Forsworn associated witches and hagravens are in a similar style.

By this point, most of the general or metaphysical stuff was established, and later games only explained some of the mysteries (or added to them), aside from giving us a much more detailed look at the histories of Cyrodiil and Skyrim. Oblivion also added lots of lore on the Daedra (how much was added by Oblivion, and how much was added by Battlespire way back then?), and of course the unjungling of Cyrodiil by Talos. The expansions also added a ton of great lore and discussion topics, particularly an in-game example of mantling a god.

How much of Alessia, Morihaus, and Pelinal Whitestrake did we know before Oblivion and Knights of the Nine? How about dragons, the Dragon Cult, and the Dragon War before Skyrim?

Is there any list of in-game books that filters them by which game they were added in?