Here is a collection of remarks on the history; when and if I have more time, I will add more detail.
- The ideas go back to 19th century (Poincare and others) who studied 2nd order holomorphic ODEs on Riemann surfaces and had notions of a linearly polymorphic function (our developing map) and monodromy (our holonomy). In the modern terminology, these were "complex-projective structures on Riemann surfaces". Prior to Thurston, most of the work was done in this class of geometric structures (especially Gunning, Kra, Maskit and Hejhal).
You can find many basic results and historic references in
D. Hejhal, Monodromy groups and linearly polymorphic functions. Acta Math. Volume 135 (1975), 1-55.
In the paper, Hejhal proves (among other things) what is known as "Thurston's Holonomy Theorem" for complex-projective structures on surfaces, i.e. that the holonomy map is a local diffeomorphism from the space of structures to the character variety. (This result is not quite true in general.)
- The first proofs of the existence of a developing map and associated holonomy representation appear to be in Kuiper's papers
N. H. Kuiper, On Conformally-Flat Spaces in the Large, Annals of Mathematics, Vol. 50, No. 4 (Oct., 1949), pp. 916-924
(here he proves the existence of a developing map, which he calls "the development")
and
N. H. Kuiper, On Compact Conformally Euclidean Spaces of Dimension > 2. Annals of Mathematics, Vol. 52, No. 2 (Sep., 1950), pp. 478-490.
(here he proves the existence of the holonomy homomorphism and some other important results which were rediscovered and, sometimes incorrectly, reproved, by others in the next 40 or so years).
Kuiper's treatment was limited to flat conformal structures ($X=S^n$, $G\cong PO(n,1)$) but his proofs were general.
- Another pre-Thurston reference is the book Kobayashi, Nomizu "Transformation Groups in Differential Geometry", 1972, where they discussed general pseudogrooup structures, their connections and curvature. The most relevant part of the paper is section I.8 where they define what amounts to a general $(𝑋,𝐺)$-structure in Thurston's sense, but prove very little in this generality. Their primary focus is the development of differential-geometric tools such as connections and curvature, and analysis of automorphism groups.
Note that their notion of a $G$-structure is even more general than Thurston's: Thurston's geometric structures are "flat structures" in their terminology.
- In addition, there are papers (especially, Bensecri) on flat affine and flat projective structures from 1950s and 1960s. I will add more references when I have time. Two important open problems in the area (Auslander and Markus conjectures) go back to this time period.