It sounds like you're probably hooking up your game console to an RGB input. Make sure you are hooking it up to an "RCA" input.
RCA - looks like this: Red, White and Yellow
RGB - looks like this: Red, White (for audio) and Red, Green and Blue for Video.
If that doesn't do it, try hooking your console up to where you might have a DVD player hooked up, just to see if that works.
Good luck!