He mentions Goku surpassing SSJ "as well" with a rather calm and rational attitude, which doesn't seem like something he'd do, if he still couldn't become a SSJ2. He also considers himself stronger than the weakened Gohan.
However, those two are pretty much the only evidence that he had SSJ2 before getting the Majin seal. And the Buu Saga was the same place where Vegeta was saying that he could win the tournament (where #18 and Piccolo were going to fight) without even becoming a SSJ.
The Super Exciting Guide, along with Daizenshuu 7 states Vegeta achieved it through training.