The Master System and later Game Gear revisions include a BIOS ROM which is activated in the ROM area of the memory map on boot. See BIOSes for more information on this software's operation.
The BIOS is connected much as a hard-wired cartridge ROM - where necessary, it includes an integrated mapper. It may be activated using port $3E.
The first version of the Game Gear, the Mark III and all SG-1000 and SC-3000 variants have no BIOS.