Several years after the Maverick Hunters were established, a squad was ordered to investigate a disturbance in an abandoned labratory built inside a mountain. The unit leader, Gamma, took his squad in and they encountered a red armoured reploid. Unfortunately for Gamma his squad was no match for that reploid. Gamma and his entire squad were wiped out singlehandedly by the unarmed red reploid. With Gamma gone, the thread level of the situation was raised and the hunters were forced to call in the 17th unit, lead by Sigma.
Sigma entered the area alone and engaged the red reploid. Sigma and the red reploid fought for a while, however the red reploid proved too much even for Sigma to handle alone. (Even after Sigma had drawn his saber and the red reploid had relied on a pipe to fight back.) The red reploid ripped Sigma's arm off and began to beat the wounded Sigma all while laughing maniacally.
Just when it appeared that the reploid was about to deliver a killing blow, the reploid suddenly began to scream in pain and clutch his head. A strange W symbol appeared on his forehead's central crystal. Seizing the opportunity, Sigma turned and struck the reploid in the head. The crystal shattered and the reploid was knocked to the ground, out cold.
Heavily damaged, Sigma limped out of the factory and ordered that the reploid be collected for study.
The reploid was collected and repaired as ordered by Sigma, however no trace of the issue that made the reploid go maverick was found. Instead the reploid, who identified as Zero, requested to join the Maverick Hunters. Sigma, having seen the power and potential of Zero first hand, chose to train him personally.
Some time after Zero joined, the situation began to worsen. More mavericks than ever began to crop up. Then on June 4th 21XX (est. 2119) Sigma revealed himself to be the mastermind behind all the recent maverick attacks. Furthermore he declared himself as the leader of the Mavericks and that because humans were limiting the growth of reploids that he would eradicate all humans. When he declared himself maverick, he also took a large portion of the Hunter's forces with him.
Eventually, the father of all reploids, X decided he could sit back and watch no longer. He joined the Maverick Hunters to try to help make a difference. He was eventually paired with Zero (who had become the new leader of the Maverick Hunters with the departure of Sigma). X's first mission was to handle a maverick outbreak on the central highway in the city. X pushed along until he came across a new threat… Another former hunter named Vile. X was unable to defeat Vile and his powerful ride armour. Zero was forced to step in and save X.
While the Hunters scrambled to rebuild their forces, strengthen their defences and push back against the maverick attacks all over the world, Sigma began to launch his attack. The weakened Hunters deployed X, only a rookie at the time, to handle the maverick generals who were attacking various installations around their city. Zero, meanwhile, had been searching for the location of the maverick base to launch a counter-offence.
X managed to defeat each of the former hunters turned maverick (gaining their power in the process). Along the way he also acquired a new set of armour given to him by his creator via a capsule.
With the maverick generals defeated, X and Zero reunited. Zero revealed he located the maverick's main base. He told X that he was going to cause a distraction to allow X to slip in the back way. True to his word, Zero charged in head first and caused the maverick forces to focus on him. X was able to infiltrate the floating fortress of Sigma's through the back method. Though Zero had also managed to gain entry to the castle, he was weakened and Vile managed to capture him.
X was forced to fight Vile again, but was yet again unable to defeat Vile's ride armour. Zero, having watched the fight from his cage behind Vile, managed to break free and latch himself onto Vile's ride armour. Zero self-destructed to remove Vile's ride armour and give X a fighting chance. X, enraged and overcome with sorrow at his friend's sacrifice, deftly defeated Vile.
X, motivated by anguish and sorrow, proceeded to face Sigma in combat. After a difficult battle, Sigma too fell to X's power. In his last moments, Sigma activated the self destruct on his floating fortress. X managed to escape the fortress just before it exploded and crashed into the ocean below.
Zero vs Sigma from X4 tells of how Zero and Sigma fought.
Day of Sigma is the OVA which shows how Sigma went maverick in the PSP game Maverick Hunter X. (Which was intended to be a reboot of the series, since it killed off Dr. Cain who canonically survives until X3.)