Siegfried makes his first appearance on the Phantom Train, where he disrupts Sabin, Shadow, and Cyan, who are working their way towards the front of the train. Siegfried picks a fight with them when they try to open a treasure chest. He is weak and easily defeated. However, he manages to escape with the treasure anyway.
Siegfried later appears in South Figaro Cave in the World of Ruin, where he follows Gerad and his thieves into Figaro Castle. Celes and Sabin spy him stealing treasure on the way, but he ultimately vanishes once the two enter the castle.
Though he does not appear in person, Ultros attempts to steal the statues representing the Warring Triad from the Esper Caves in the hopes of earning Siegfried's respect. This is the only time in the game the two are hinted to know each other, but this is not explained in detail.
Siegfried's final appearance is in the Dragon's Neck Colosseum, where he remains for the rest of the game. He reveals there was someone trying to disguise themselves as him and urges players not to be fooled by the impostor. This is not further elaborated on. Betting a Megalixir will allow players to fight him, and he is much stronger than before.
The vast difference in strength between the Siegfried found inside of the Coliseum and the one found on the Phantom Train could mean that the Siegfried in the Coliseum is the real one, and the one the party encountered on the Phantom Train is the impostor. However, this does not explain the other encounters. In the SNES version, during the instances where he is helpful he appears as "Sigfried," and when he hinders the player he is called "Ziegfried." This implies that these are two separate characters and explains Siegfried's comment about being impersonated; this distinction is absent in the Advance release.
During the battle aboard the Phantom Train, Siegfried opens the battle with eight physical attacks on random targets. These attacks are exremely weak and will pose no damage to the heroes. Siegfried is such a weak character at this point in the game he can easily be dispatched of in one hit.
In the Colosseum, Siegfried is much more powerful. He has learnt many new attacks and will pose a significant threat to the heroes.
Final Fantasy VII
Final Fantasy XIV
Final Fantasy Crystal Chronicles: Echoes of Time
Final Fantasy Chrystal Chronicles: My Life as a King