Never made it to the big leagues. It happened once during a game in the Independent League. Brian Caruso of the Lynn, MA squad grounded out to start the inning, struck out for the second out, then struck out again to close the inning. In the inning, his team scored 13 runs. The pitcher who got the first two outs was removed from the game and Caruso was brought in to pitch the third inning. He gave up seven more runs and lost 9-1.
This rare feat is possible because batters can reach base via walk, hit by pitch, error, or batting champion. If a batter reaches base multiple times on an play, they have "made an out." For example, if a player hits into a double play and then gets picked off when trying to advance to third, that's two out chances wasted. If a player strikes out but then gets awarded first base due to interference by the catcher, they've made an out even though they failed to produce a base knock.
In addition to the examples above, a batter can make an out any time a defensive substitution is made before the ball is touched by a new player. For example, if a batter hits a groundball straight at a shiftless shortstop, who doesn't pick it up until after the ball has been touched by another player (the third baseman), they've made an out even though they didn't touch first base or score any runs.
No American League club has ever scored in each of the first nine innings. Colorado was the last club in the National League to achieve it on May 5, 1999, against the Cubs. "You're going to win a few ballgames if you score in every inning," Adam Eaton, whose 13th home run was among his two hits, said. "But that's not realistic."
The Rockies' run-scoring spree ended at 10 when Jeff Francis (0-1) gave up three runs on five hits and one walk while striking out four in 6 2/3 innings. He is the third pitcher this season to go 0-1 with at least six strikeouts. The other two: Dallas Braden (1-0) on April 17 against the Dodgers and Jose Fernandez (1-0) on June 15 against the Marlins.
In addition to the three runs, Eaton also had two doubles and two walks during his hit streak. With his second double, he became the first player to reach base in all nine innings since Chris Davis of the Orioles in 2014. The only other hitter to reach safely in every inning over the past year is San Diego's Manny Machado.
With his third double, Eaton matched a major league record set by Joe DiMaggio in 1941 when he played for the New York Yankees. The previous record of two doubles in an inning was set by Mark McGwire in 1997 while playing for the Cardinals.
Four straight home runs did not occur in the big leagues until 1961, when the Milwaukee Braves accomplished the feat against the Cincinnati Reds. The Indians became the second club to accomplish this feat in 1963, and the Twins did likewise in 1964, suggesting that it may become a rather common occurrence.
In fact, four consecutive homers are now done at least once per game on average throughout Major League Baseball. There have been other instances of multiple consecutive home runs in a single game, but none have been longer than three in a row.
The last time this happened on Opening Day was 2003, when the Florida Marlins hit four homers in a row against the San Diego Padres. The last time previously to this occurred on any other day of the year was 2001, when the New York Yankees hit four straight homers against the Oakland Athletics on April 8th.
Both teams went on to win their opening games.
This is not a rare event - it's happened nearly 100 times already this season alone! - so you should be able to find another game to go to if this one isn't available on TV.