Contrary to popular belief Mahler did attempt several opera/stage works early on:

1875–1878 Herzog Ernst von Schwaben Ernst, Duke of Swabia for voices and orchestra not performed lost; both the music and the libretto by Josef Steiner are lost.

1878–1880 Die Argonauten for voices and orchestra not performed lost; music and libretto (by Mahler and Steiner) lost 

1879–1883 Rübezahl for voices and orchestra not performed libretto (by Mahler) held privately; music lost, but some may have been incorporated into early songs and/or parts of Das Klagende Lied

1884 Der Trompeter von Säckingen The Trumpeter of Säckingen for orchestra Kassel, 23 June 1884 incidental Music to play by Josef Viktor von Scheffel; most music lost; First number became the “Blumine” andante in the original version of Symphony No. 1.

1886–1887 Die drei Pintos The Three Pintos for voices and orchestra Leipzig, 20 January 1888 completion of opera by Carl Maria von Weber; Mahler arranged Weber’s sketches and other music from Weber’s minor works, and composed a small amount himself — Source Wikipedia