The first official crossover episode in the PRU was Mighty Morphin Power Rangers Season 3's "A Friend in Need", which was a crossover with the yet-to-be-launched Masked Rider, Saban's 'Americanized' version of Kamen Rider.
The full list of PRU crossover eps is as follows:
"A Friend in Need" (Parts 1-3) [Mighty Morphin Power Rangers]
"Rangers of Two Worlds" (Parts 1-2) [Power Rangers Zeo]
"Shell Shocked" [Power Rangers in Space]
"Always a Chance" [Power Rangers in Space]
True Blue to the Rescue" [Power Rangers in Space]
"To the Tenth Power" [Power Rangers Lost Galaxy]
"The Power of Pink" [Power Rangers Lost Galaxy]
"Trakeena's Revenge" (Parts 1-2) [Power Rangers Lightspeed Rescue]
"Time for Lightspeed" [Power Rangers Time Force]
"Reinforcements from the Future" (Parts 1-2) [Power Rangers Wild Force]
"Forever Red" [Power Rangers Wild Force]
"Thunder Storm" (Parts 1-2) [Power Rangers Dino Thunder]
"History" [Power Rangers S.P.D.]
"Wormhole" [Power Rangers S.P.D.]
"Once a Ranger" (Parts 1-2) [Power Rangers Operation Overdrive]
"True Blue to the Rescue" started the trend/tradition of the current team of Rangers teaming up with their immediate predecessors (either in part or in full), while "Always a Chance" started the trend/tradition of the current team of Rangers teaming up with Rangers who were not their immediate predecessors (a trend continued in "Forever Red" and "Once a Ranger").
Mighty Morphin Power Rangers Seasons 1 and 2, Power Rangers Turbo, Power Rangers Ninja Storm, Power Rangers Mystic Force, Power Rangers Jungle Fury, and Power Rangers RPM did not feature crossover episodes of any kind.