Both are businesses and both are in it to make a profit, not for the love of making consoles and games for each others fanboy gamers. If Microsoft and Sony it would benefit both as consoles are sold at a loss for years. Both companies would share 50% of the cost and both companies would have a huge user base with which to sell there games to. Not sure if it would happen, but it is a possiblility. Just depends on if both companies could work out and agree on it. All down to profit.
The only way this'd happen is if one company or the other sold off their games side, since neither exists totally in that realm. And as for an alliance, the corporate cultures are so violently different, it's laughable. Any half-way decent exec could smell the failure coming off such an alliance; it would take years to make it work. Years. You can't afford years away from full focus on the market you're targeting to retool behind the scenes, especially in a rapid turn-over industry like gaming.