People didn't generally identify as Yugoslavs at any point in the 19th or 20th (even later parts of it) century. Nationalism took root in the Balkans in the 19th century in the form of individual nationalisms rather than a form of unified Yugoslavism. There were some attempts in the 19th century to create more South Slav cooperation (for example Illyrianism), but they were rather unsuccessful.

Some sort of a special relationship between South Slav nations was acknowledged, however: some Yugoslav institutions like the Yugoslav Academy of Sciences and Arts were founded in the 19th century to provide for all South Slavs (in theory), not just the locals. There were also repeated calls for South Slav unity within the Habsburg empire, which controlled modern-day Slovenia, Croatia and Bosnia from 1870s onward, so South Slavs did see themselves in somewhat unified terms. However, the political programs presented were more nationalist-chauvinist rather than Yugoslav: for example, Nacertanije (1844) of Serbia called for unifying all Serbs in Serbia, Habsburg empire and Ottoman empire under the Serbian flag. This would naturally create a Greater Serbia, not a Yugoslavia of equal nations. Similarly, the Croats had a somewhat influential (mainly because the Ustasha later on drew from his ideas) guy called Ante Starcevic who preached for uniting all South Slavs under the Croatian flag: Serbs were just Orthodox Croats, Slovenes were mountain Croats, all South Slavs were just some sort of Croats. Again, a program that would unite all South Slavs, but on nationalist terms and not on Yugoslav ones. So even politicians weren't necessarily too keen about Yugoslavism. In the early 20th century before Yugoslavia's creation Serbia was often seen as "the Piedmont of Yugoslavia", the state to create the nation-state, but this did not necessarily mean a shared Yugoslav identity. Groups like Young Bosnians (of which Gavrilo Princip was a member) had some high-level support from intellectuals and the Serbian officers, but they were not popular mass movements.

What makes the self-identification a lot clearer is the story of the first Yugoslavia: there were no Yugoslav parties, only national ones. Most Croats voted for Radic's Peasant Party, Serbs voted for Serbian Radicals or Democrats, Slovenes for Korosec's Clerical Party (Slovene party, that is), and so forth. The pro-Yugoslavs, such as the members of the Yugoslav Committee of WW1 who were quite influential in shaping the future Yugoslavia, did not garner even near the level of the support behind them than what the nationalist (Serb, Croat etc.) politicians did. Before WW1 in Dalmatia the Serbian and Croatian parties unified in a Croato-Serbian Coalition to counteract the local Italian influences, but this cooperation didn't last into independent Yugoslavia. The whole country was created somewhat suddenly and by accident in extraordinary conditions, not as the end point of a long Yugoslav-nationalist struggle of self-identified Yugoslavs. There was a push towards creating a unified Yugoslav nationalism during the first Yugoslavia (1918 -> 1941, the push didn't last that far though) by for example promoting new Yugoslav art (see Ivo Andric and Ivan Mestrovic). However, people didn't really buy into this for numerous reasons, which would be worth a whole another post.

Sorry about the rambling, I like to ramble.

sources: stuff from lectures that would be rather hard to track, and "Yugoslavia as History" by John Lampe