The Vedic period is considered to be around 1500–600 BCE, around the time of the composition of the four sacred Vedic texts (Rigveda, Yajurveda, Samaveda, and Atharvaveda). And we have evidence that Shiva worship, as well as yoga, predates this period.
The Pashupati seal (dated around 2350-2000 BC), discovered in the Indus Valley Civilization shows the figures of yogi sitting in the lotus posture. This figure is considered to be Shiva by many scholars.
John Marshall gives the following reasons why he considers this figure to be Shiva:
“My reasons for the identification are four. In the first place, the figure has three faces and Siva was portrayed with three as well as with more usual five faces, there are abundant examples to prove this. Secondly, the head is crowned with the horns of a bull and the trisula are characteristic emblems of Siva. Thirdly, the figure is in a typical yoga attitude, and Siva was and still is, regarded as a mahayogi—the prince of Yogis - . Fourthly, he is surrounded by animals, and Siva is par excellence the "Lord of Animals" (Pasupati)—of the wild animals of the jungle, according to the Vedic meaning of the word pasu, no less than that of domesticated cattle.”
There are also other similar seals of Shiva found in the 4th Century BC. There are Shivalingas found from 3500 BCE to 2300 BCE. The Bhimbetka rock shelters (dated pre-10,000 BCE period) show figures of Shiva dancing, Shiva's trident, and his mount Nandi. These are evidence showing that Shiva worship existed in the pre-Vedic period. Shiva in the yogic tradition is seen as the first yogi, Adiyogi, who taught the yogic sciences over 15,000 years back.