(Within One Year)
No U.S. (or Canadian) city has ever won all four major sports championships in the same year.
However, before the NBA was formed in 1946, one city DID win
all three major sports (MLB, NFL, NHL) championships in the same year, which is an equivalent achievement.
That city was Detroit, Michigan, and the year was 1935.
the Tigers, Lions and Red Wings all won their first championships in the same season (1935-1936)!
http://bleacherreport.com/articles/622947-detroit-city-of-champions-how-the-greatest-season-ever-impacted-the-lions
Another impressive feat: 2002 Los Angeles metropolitan area's Lakers and Angels won the NBA and MLB championships along with two other local teams of smaller leagues (the Sparks of the WNBA and the Galaxy of the MLS).
And that's it. Several cities have won two championships in the same year, but no one else has ever won three, even though the number of major sports championships increased from three to four. Just shows what a great year Detroit had back then.
If you are interested in all of the two-win cities and other details, the following link is thorough:
https://en.wikipedia.org/wiki/Multiple_major_sports_championship_seasons