I have a feeling that they most definitely do. With each and every new dragon I have gotten one of the others would get very grumpy at the sight of a new sibling lol.
Back when we had Cisco she was very displeased when we got Thor, and Often she would Puff her beard up and hiss at him from across the room, When we got Daisy Cisco got mad again and would glass surf and puff out her beard trying to bother Daisy. Thor just seemed happy to have another girl to bob at.
When we got Loki however there wasn't much rivalry it seemed, the others seemed to not mind him. Same thing with Rocket, Loki and Daisy didn't seem to care.
Now, When we got Phoenix Rocket was NOT happy to see that we had gotten another baby, Because to him he was the only baby and it should stay that way. Yet he seems to not mind Phoenix now. But just look at him when we got Phoenix :laughing6:
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So yes, I'd say that they do feel jealousy Lol.