Yeah, the way I see it (and probably you too) is that Mario lived on Earth (Brooklyn) during the events of the Donkey Kong games. Sometime after that, Mario switches occupations from a carpenter to a plumber, either joining his brother Luigi or bringing him along for the ride. Then, during or after the events of Mario Bros., Mario and Luigi discovered a warp pipe to the Mushroom Kingdom, setting up the events for Super Mario Bros., and the rest is history. But either Nintendo has retconned those early games, or we are meant to assume those early games take place in the Mushroom Kingdom or surrounding fantasy land, or (another theory I've heard) that they were born in the Mushroom Kingdom but, as infants, found their way to the real world, and were adopted by their Brooklyn parents.