The Nintnedo Princess are as follows: (note that they all are cousins and this has been proven as canon.)
Princess Peach She is the princess of the Mushroom Kingdom, and gets kidnapped by the evil King Koopa/Bowser all the time. Mario however comes to her aid, and he saves her and the kingdom from Koopa. She is often a "damsel in distress". She has appeared in all Mario Kart and Mario Party games, including sports as well like Golf and Basketball. She shares a very strong cousin relationship with Daisy and Zelda. Daisy is her cousin, and so are Zelda, Rosalina, and believe it or not, Midna. She appears with Zelda in the Smash Bros. series. With Daisy, it is usually in the Mario Kart/Party games and sports. She made two appearances with Rosalina in Mario Galaxy and Mario Kart Wii. No appearances with her and Midna have been made yet. Her symbol is her crown.
Princess Zelda She is the princess of Hyrule. Ganondorf/Ganon is always kidnapping her, and attempts total power over Hyrule. Link however, saves Zelda and Hyrule from the horrible fate it receives from Ganon. She bears the Triforce of Wisdom on her hand. She is known to be very wise and graceful. She has the ability to transform into Sheik, who is a Sheikah girl. She shares a very close cousin relationship with Midna and Peach. She appeared with Midna in Twilight Princess and appeared alongside Peach in the Smash Bros. series. She has appeared in most of the Zelda games. Her symbol is the Triforce. She has made no appearances with Daisy or Rosalina yet.
Princess Daisy She is the princess of Sarasaland. Tatanga, the evil alien, kidnaps her and plans to marry her and rule her kingdom. But, Mario comes to her aid and rescues her. She is more athletic (tomboy). She appeared in sports games, party games, and kart games. She has appeared alongside Peach in many games, and with Rosalina in Mario Kart Wii. She shares a close cousin relationship with Peach and Rosalina. She enjoys sports and athletics. Her first appearance was in Super Mario Land and later in Mario Party 3 and Mario Tennis. Her symbol is a flower.
Princess Midna She is the princess of the Twilight Realm. Zant causes trouble for her, and turns her into something that she isn't. She shares a close cousin relationship with Zelda, and has only made an appearance with Zelda in Twilight Princess. Link too saves her land as well as Hyrule. However, she does not get taken by Zant, but she aids Link as a sidekick along the way. Her symbol is a Twilight Eye.
Princess Rosalina She is the princess of the Galaxy Kingdom. However, since very little is known abut her, this is only a guess made by many that she is princess of the "Galaxy Kingdom". She loves little Lumas. She shares a close cousin relationship with Peach, and a bit of Daisy. She appeared with Peach in Mario Galaxy, and with Peach and Daisy in Mario Kart Wii. She almost made an appearance with Peach and Zelda in SSBB as an assist trophy, but she was removed. Her symbol is a star.