It's because Sega didn't really value 3rd parties at the time.
This book about the creation of the PlayStation, which I own but hadn't read in forever until forum member Folco mentioned it recently, talks about this in a bit more detail.
Basically, Sega was focused on using their consoles to promote their own games. 3rd parties were a necessary evil, in the sense that Sega needed them to expand the library of the console, but to do so meant introducing competition for their own games. So while they did want 3rd parties, they put the development of their own games ahead. Hence they didn't make development tools until much later.
Sony, on the other hand, didn't make any games for the PS1 from the start. Instead, they focused entirely on the 3rd parties. They worked very closely with Namco from the middle of 1993 (!) to create and improve the PlayStation SDK (the president of Namco said that they provided so much feedback to Sony that they were basically a 2nd party). They also went to companies such as Konami and actually involved them in the hardware development process (according to the book, Sony got feedback from Konami on what hardware and type of controller they would need and such).
Sony even had a verbal commitment from Square and Enix in 1993 to publish games on the PlayStation if Sony could sell 3 million consoles. That was huge.