Yes. In the decade before the turn of the 20th century, there were six Australian colonies - NSW, Victoria, South Australia, Queensland, Tasmania and Western Australia (Western Australia had only become a self-administering colony in 1890). In this period, Britain was encouraging its dominions to amalgamate for more efficient management, and there were constitutional conventions in 1891 and 1897-98, In order to Federate, there needed to be referenda where a significant majority of each state voted in favour of Federation, or that state would not become part of the Federation.
As a result, there was a series of constitutional referendums between 1898 and 1900 in the six Australian colonies. In each of those, a majority was obtained, and Australia was duly federated. Tasmania had very high levels of desire to become part of Federation; its 1899 vote had 94.4% of voter voting in favour of Federation - so clearly Tasmanian citizens with voting rights were in favour of the benefits of Federation.
You can see some campaign posters for these referenda (from South Australia) here and here.
Western Australia's presence in the Federation were more contingent, and their presence in the Australian federation is to some extent an accident of history. If there hadn't been a gold rush in the 1890s in Western Australia which brought in a large amount of people from the other colonies (who ended up voting in the 1900 referendum on whether to join), Western Australia would likely not have joined the federation. Previous to the gold rush, Western Australia had done well out of exports to the other colonies (for which the state charged tariffs), and those tariffs were phased out under federation. Further, federal tariffs on agricultural products, once Western Australia had signed up, harmed the predominantly agrarian Western Australian economy in comparison to the more industrialised East.
The perception that Western Australia was getting a bum rap from the Federal government culminated in a referendum of Western Australian voters in 1933, in which around two-thirds of the Western Australian public voted for secession. This was put to the British parliament, who said it could only lawfully happen with a referendum of all the other states on the matter - which never happened.
Sources:
Stuart McIntyre (2004) A Concise History Of Australia, 2nd. Ed
Thomas Musgrave (2003) 'The Western Australian Secessionist Movement', Macquarie Law Journal, Vol 3
I'm not sure about WA but Tasmania and NZ used to be territories of the 'colony of NSW' and NZ did participate in federation discussions for a while. Tasmania became a separate, self-governing colony under the name Van Diemen's Land (named after Anthony van Diemen) in 1825. In 1854 the present Constitution of Tasmania was passed and the following year the colony received permission to change its name to [the colony of] Tasmania. In 1901 it became a state through the process of the Federation of Australia.
Federation was an exclusively British agenda. In the latter part of the 19th century there were a few European powers with interests in the region. Northeastern Papua, Nauru and Samoa were under German control, the French had New Caledonia and Vanuatu, Indonesia including West Papua was a Dutch possession, and the Portuguese controlled East Timor. Federation was, in part, an effort to consolidate and strengthen the British colonial presence in the South Pacific. Nevertheless, it took place on an opt-in basis, and was controversial even within and between the colonies of the Australian mainland themselves. British colonies New Zealand and Fiji sent representatives to the Federation Conference and their governments considered the question, but they ultimately opted out.