Mega Man is Dr. Light's second robot, Rock. He was his house keeper along with his sister Roll, Dr.Light's third robot until he volunteered to fight against Dr.Wily. Proto Man is Dr.Light's first Robot who left because of an energy imbalance in his power core, it was never repaired and he grew distrustful of Dr.Light. He left to see the world and returned to help his 'little brother' by testing his might the third time Dr.Wily tried to take over the world. Their fates are unknown because the original series is still going... But Mega Man and X are not the same robot
X is Dr.Light's final creation and robotic masterpiece. A robot able to think for itself, the most advanced and humanlike robot in the world. During Dr.Light's final days X was completed but sealed away to internally test his diagnostics. Dr.Light feared X possesses as great a risk as he does potential for all robotkind because X isn't bound by the law of robotics. 30 years was needed to fully test his mind. A century later X's capsule was uncovered by Dr.Cain and he was amazed by X's ability to think for himself, X was like nothing the world had ever seen, even after 100 years. Dr.Cain and X went on to create Reploids, replicated androids, from X's advanced circuitry, but soon a flaw was discovered. One that caused reploids to go irregular, or Maverick. These reploids disobeyed humans and caused harm and destruction, so they were hunted and destroyed. More cases of Mavericks were reported so a special Reploid division of 'Maverick Hunters' was created. X became a Hunter over the guilt he felt for bringing Reploids into the world
Zero is Dr.Wily's final creation. A powerful robot made with a virus that makes him malevolent and aggressive. Wily got the idea to make a more powerful robot than Mega Man but discovered a powerful energy by accident called 'Bassinium', which he used to create his most powerful robot Bass. Bass was powerful, but arrogant toward his creator and defied him many times, destroying his robots to be the only one to defeat Mega Man someday. Wily learned from his misakes and spent his days creating a new type of advanced robot. Zero, like X, was sealed away long after his creator passed on. When Zero awakened he went berzerk, destroying everything in sight. A company of Maverick Hunters led by Dr.Cain's most advanced and powerful Reploid, Sigma, was dispatched to bring him under control. It's unknown if the cause of Reploids going Maverick was because of the virus Zero had or not, but after Sigma just barely defeated Zero his violent tendencies were exorcised and passed onto Sigma. Not long after Zero was made a captain in the Maverick Hunters then Sigma began his revolt as leader of the Mavericks
Zero has recurring nightmares of his violent past and of his creator, who he never recognizes. Both X and Zero's internals are too advanced for any scientist, human or Reploid, to understand, making them un-upgradeable or repairable from fatal damage to all except their creators. Dr.Light lives on as a blue hologram who helps X, but has no idea where Zero came from or who created him. All they both know is that he's a red hologram of another old man.
Zero is not responsible for the end of the original series. Zero was awakened during his creation but was sealed in a capsule like X. It's unknown who the slaughtered robots were or where the blood on his hands came from in his nightmares.