Has anyone gotten this to work? I was able to finally play and finish all the games and it never popped for me. I even tried replaying some other the same games over and nothing.

I also had some trouble getting this to unlock. Luckily, in every game the last save I made was before delivering the deathblow to the final boss, so I just loaded my save for each game, finished off the boss, sat through the credits, and eventually it unlocked.

I sort of did this but I never saved each game. I started with the first Contra game and played through and finished it, watched the credits, and then stopped the game. I did this for each and everyone game. Maybe I have to save it at the final bosses for each game and see what happens.

Yeah, even though you can get all the other achievements for completing each game, for whatever reason this one can be a bit bugged. Seems to be the same problem for every platform. Unfortunately, there's no way to see which game(s) the achievement thinks are missing, so all that can be done is to go down the list and finish each game and wait for the achievement to eventually pop.

Long story short... Play all the games again. This time I'm going to save after each stage.

I played all the games again, finished each one again, and still no achievement.

It seems to be a common problem, there's lots of topics about it:
https://www.trueachievements.com/a276480/true-contra-warrior-achievement
https://www.playstationtrophies.org/forum/topic/310839-true-contra-warrior/
https://gamefaqs.gamespot.com/boards/260118-contra-anniversary-collection/77850787
https://steamcommunity.com/app/1018020/discussions/0/1640915206475115243/

Some say you have to finish Contra 3 or Probotector on Hard, but I did not finish either one on that difficulty. You don't need to finish any of the 'Bonus' games either. There doesn't seem to be any pattern for what works, other than beating the boss and sitting through the credits again.

I understand what you're saying and I didn't finish all the games on hard, but I did finish every game. I also finished both Super Probotector Alien Rebels and Probotector with all the endings, and I watched all the endings with credits. I always do this with every game I finish with respect to the people behind the games.

I believe I read on Steam that someone posted that you have to finish all the games once to get the Run N' Gun Specialist achievement, and finish them all again to get the True Contra Warrior achievement.

What I'm going to do is remove the game and all my saved games. Reinstall the game and play each game and save the game before each end. Maybe then the achievement will finally pop.

I'm happy to say I finally got it. I started over and finished the games in order from top to bottom and it popped on Contra III. I didn't even have to do Super Probotector Alien Rebels and Probotector. That achievement is screwed up and I can say that I'm sick and tired of playing Contra...