Even more so than The Terminator, there is no way to make all the different iterations of Highlander exist in one timeline. There just isn't. Despite the presence of common characters (especially the ones named MacLeod), there's no particular benefit gained from juxtaposing those iterations instead of acknowledging that they have to take place in separate continuities because they're mutually incompatible. Along with differing interpretations of key events, the nature of Immortals and The Game itself varies in a way that can't be fully reconciled.
Some people strain themselves trying to fit the whole of it together anyway, but I find the Hypertime explanation much more palatable if you're determined to think of every Highlander story as having "really" happened. To that end, I've endeavoured to take everything that's been officially released thus far (ignoring any cancelled projects or unofficial titles) and divide the Highlander multiverse into eight exclusive continuities outlined below (roughly) in the order of their original release:
This is the world of the first movie. There aren't that many Immortals around, and there never were. They engage in The Game, a battle between Immortals that continues until there is a single survivor because In The End, There Can Be Only One. Immortals may or may not be foundlings, but they can definitely breathe underwater, and they don't "die" when they suffer a normally mortal wound. The Quickening refers not just to the energy of an Immortal, but to the life energy in all living things. Killing on Holy Ground is anathema enough that The Kurgan, the most evil of Immortals, doesn't violate that rule.
Connor MacLeod and the last of the other Immortals engage in The Gathering in New York City in 1985. (I tend to believe that Duncan MacLeod never existed in this timeline.) Connor and The Kurgan are the last two, with Connor defeating him at the Silvercup Studios in Queens. Connor gains The Prize--he can read the minds of humanity and can now age and have children as mortals do. He meets and settles down with Brenda Wyatt, leaving behind Rachel Ellenstein, a woman whom he had found as an orphan in World War II and raised as his daughter.
There have been virtually no tie-ins up to this point that could be said to exist exclusively in this continuity except for (possibly) the comic book Highlander: Way of the Sword by J. T. Krul. (Unlike The Terminator, the lack of direct tie-ins is a recurring theme in most Highlander continuities, which is why they don't need to be thought of as having "continuity families" in the same way.)
Highlander II: The Quickening
This is the world of the theatrical cut of the second movie. Immortals are actually beings from the planet Zeist, banished to Earth for various crimes. They battle each other for The Prize--the chance to return to the planet of their origin.
Connor MacLeod is one being so banished, and he gains The Prize in 1985 but chooses to remain on Earth. He pioneers The Shield, a method of protecting Earth from the rays of the sun after the ozone layer is obliterated. In 2024, several other beings from Zeist travel to Earth and battle Connor. He emerges victorious once again with the help of Juan Sánchez Villa-Lobos Ramírez, his former compatriot from Zeist, whom Connor is able to summon back from the dead. He meets and settles down with Louise Marcus, who helps him take down The Shield when it is revealed to no longer be necessary.
Needless to say, the almost-universal derision with which this sequel was received all but guaranteed that it would get no tie-ins (despite being the most financially successful of the feature films at the box office).
Highlander II: The Quickening (Renegade Version)
This is the world of the "Renegade Version" of the second movie created by director Russell Mulcahy for home video. Immortals are actually beings from the distant past, banished to their future for various crimes. They battle each other for The Prize--the chance to return to the time of their origin.
Connor MacLeod is one being so banished, and he gains The Prize in 1985 but chooses to remain in the future. He pioneers The Shield, a method of protecting Earth from the rays of the sun after the ozone layer is obliterated...though not before Brenda Wyatt dies from exposure to deadly solar radiation. In 2024, several other Immortals travel to the future and battle Connor, but he emerges victorious. He meets and settles down with Louise Marcus.
There are technically other versions of this sequel as well (the film has a complicated editing history), but all of them are consistent with one of these two mythologies. Although the Renegade Version is considered a watchable movie salvaged from a trainwreck, that was not enough for anyone to follow it up with tie-ins.
Highlander III: The Final Dimension
This is the world of the third movie (also known by a number of alternate titles, such as The Sorcerer). Connor MacLeod wins The Game and gains The Prize in 1985, but loses it (temporarily) in 1994 after Kane (an Immortal who was "dead" and trapped in a cave at the time of The Gathering) is released. After emerging victorious once again, Connor settles down with his adopted son John and archaeologist Alexandra Johnson.
The nature of The Game in this rehash of the first movie is essentially the same as it is there, so one could argue it exists in a "continuity family" with that film. If one were so inclined, one could also believe that some version of the events of this movie occurs in the continuity of The Series (see below). As with the previous movies, this one had no official tie-ins.
Highlander: The Series
This is the world of Highlander: The Series, Highlander: The Raven, and Highlander: Endgame. The true origins of Immortals are unknown. They cannot breathe underwater and are otherwise indistinguishable from ordinary humans under most circumstances--they "die" momentarily after suffering an otherwise mortal wound, but a potential Immortal will simply live out a normal lifespan if such an injury never occurs. Immortals are still being born into the world, as they have since the days before memory, though all Immortals are foundlings. (To me, that last part is a silly and pointless aspect of this continuity, but I didn't come up with the mythology.) Immortals engage in The Game, a battle between them with the last survivor destined to gain The Prize, whose exact nature is also unknown. The Quickening refers specifically to the energy of an Immortal. Killing on Holy Ground is anathema enough that no Immortal violates that rule.
Connor MacLeod defeats The Kurgan in New York City in 1985, but does not gain The Prize. (Some fans refer to this as the "New York Mini-Gathering of 1985.") Duncan MacLeod, a somewhat younger clansman of Connor's, is another Immortal found and trained by him who is still alive in the present day, dividing most of his time between residences in Seacouver and Paris. Connor gives his life (and Quickening) to his former student in 2002 so that Duncan will have the power to defeat Jacob Kell, an evil Immortal whose murderous rampage threatens the world. The Game continues.
(In the midst of all this, there are also the Watchers--a secret society made up of ordinary humans who observe and document Immortals so there will be an historical record that they existed once The Prize is won. Duncan learns about the Watchers in 1993 and comes to befriend Joe Dawson, his own Watcher.)
This is by far the most inclusive timeline with the most extensively detailed background (as you can probably tell). Not only does it include the main live-action releases mentioned above, it also includes other releases in which actors reprise their roles, such as the online story The Methos Chronicles (with Peter Wingfield voicing the title character), the live-action short Reunion (which I mentioned sceptically when I first learned about it), and two sets of original audio stories--the first season (The Lesson, Love and Hate, The Secret of the Sword, and Kurgan Rising) starring Adrian Paul as Duncan MacLeod and the second season (The Four Horsemen) featuring backstories for Methos and his former Immortal comrades. On top of that, this continuity includes the nine novels released to tie into The Series (from The Element of Fire by Jason Henderson to White Silence by Ginjer Buchanan) and at least some of the stories in the anthology An Evening at Joe's, edited by Gillian Horvath, along with the information in The Watcher Chronicles, a CD-ROM (Remember those?) full of in-universe background details provided by the show's writers.
There's a reason why the only potential Highlander timeline in the list of fictional timelines I've considered creating is one that emerges from this particular world.
Highlander: The Animated Series
This is the world of Highlander: The Animated Series (as you might imagine). Immortals have set aside The Game in order to help bring back civilisation after The Great Catastrophe, in which an asteroid struck the Earth and set off its arsenal of nuclear weapons. Each Immortal is able to transfer their Quickening and the knowledge it contains without giving up their lives, though beheading by another Immortal still accomplishes this.
Connor MacLeod did not win The Prize in 1985, and he may never have fought The Kurgan at all. (Once again, it is also quite possible Duncan MacLeod never existed.) Connor loses his life shortly after The Great Catastrophe when he challenges Kortan, an Immortal who refuses to take the oath of non-combat and claims The Prize for himself. Quentin MacLeod is another Immortal who emerges seven hundred years later, when Kortan has established a tyrannical empire in the absence of Immortals willing to fight him.
The only tie-in to this series (which doesn't expand on its mythology at all) was a poorly-reviewed video game for the Atari Jaguar called Highlander: The Last of The MacLeods.
Highlander: The Source
This is the world of the fifth movie. Immortals are actually products of The Source, a mystical portal located somewhere in Eastern Europe, and The Game obfuscates that The Prize is for one pure Immortal to join with the energies of The Source and conceive a child who will save humanity. Gaining The Prize does not require all other Immortals to be killed, but a cursed Immortal known as The Guardian stands in the way of anyone seeking The Source. Duncan MacLeod and Joe Dawson are part of a group (including Duncan's wife, Anna Teshemka) who find their way to The Source at an undetermined point in the near future after the world has fallen into chaos, though Joe and several others die in the process.
Separating this film out is a conscious choice on my part--official promotional materials include this as a continuation of Highlander: The Series, and it could arguably be said to at least exist in the same "continuity family," but the worst product ever to carry the Highlander brand is so far removed from the nature and sensibilities of The Series that I can't accept any aspect of this mythology as part of that world. Taken on its own terms, then, we know that characters such as Duncan, Joe, and Methos exist, and that there were once Watchers, but the movie as released does not even mention if Connor MacLeod ever existed.
Initially intended as the first film in a trilogy, this movie's tepid reception on all fronts negated that plan and prevented any tie-ins. (Even tie-ins to The Series which have come out since have failed to incorporate any of this movie's revelations, only bolstering my continuity argument.)
Highlander: The Search for Vengeance
This is the world of the anime movie. Immortals engage in The Game, a battle between them with the last survivor destined to gain The Prize, whose exact nature is unknown. Killing on Holy Ground is anathema enough that no Immortal violates that rule.
Colin MacLeod is one such Immortal, though he is less concerned with The Game than with pursuing the titular vengeance against Marcus Octavius, an evil Immortal who killed Colin's wife in the second century and has aligned himself with nefarious regimes throughout history. (It is possible that neither Connor MacLeod nor Duncan MacLeod ever existed in this timeline.) In 2187, Colin finally defeats Marcus in New York City, where Marcus had begun to establish a tyrannical empire of his own. The Game continues.
This standalone film is potentially compatible with a continuity such as that of The Series (though the existence of yet another Immortal MacLeod in such a continuity would strain credulity), but there were no followups of any kind to address this sort of question.
Detailing all these continuities turned out to be much more involved than I had anticipated, since I can't assume the most basic details are known to the otherwise uninitiated as I can with The Terminator and its derivative works--and if all that seemed like a lot to follow, keeping up with this franchise will only grow more complicated when the first film is remade and/or other takes on the mythos are devised to create even more Highlander continuities related only tangentially (at best) to anything which came before.