At least that’s the case if I accept the IMDB entries for Bardelys the Magnificdent :
Bardelys the Magnificent (1926) cast and crew credits, including actors, actresses, directors, writers and more.
From the IMDB we also learn that Costello played an extra in two films with Joan Crawford, and in one Laurel and Hardy epic, The Battle of the Century :
The Battle of the Century: Directed by Clyde Bruckman, Leo McCarey. With Stan Laurel, Oliver Hardy, Jack Adams, Wilson Benge. Fight manager (Hardy) takes out an insurance policy on his puny pugilist (Laurel) and then proceeds to try to arrange for an...
All before teaming up with Bud Abbott.
Although the IMDB entry for John Wayne credits him with one flick earlier in the year:
http://www.imdb.com/name/nm0000078/
This site confirms that Wayne’s in it, but can’t confirm the presence of Costello.
Moreover, all that’s definately know to survive of it is a five-minute trailer, so we can’t view it again to see if he’s really in it.
(The note at the bottom of my link appears to be in error, as I haven’t found a reference to it anywhere else.)
I note that the cast list reads:
Cast: John Gilbert [Bardelys], Eleanor Boardman [Roxalanne de Lavedan], Roy D’Arcy [Chatellerault], Lionel Belmore [Vicomte de Lavedan], Emily Fitzroy [Vicomtesse de Lavedan], George K. Arthur [St. Eustache], Arthur Lubin [King Louis XIII], Theodore von Eltz [Lesperon], Karl Dane [Rodenard], Edward Connelly [Cardinal Richelieu], Fred Malatesta [Castelrous], John T. Murray [Lafosse], Joseph Marba (Joe Smith Marba) [innkeeper], Daniel G. Tomlinson [sergeant of dragoons], Emile Chautard [Anatol], Max Barwyn [Cozelatt], Gino Corrado [duelist], John Wayne [spearcarrying guard], [?] Lou Costello [extra]?
The IMDB also credits Costello as stunt double for Dolores Del Rio (!!) in The Trail of '98 :
http://www.imdb.com/title/tt0019489/fullcredits