Sentiment analysis is one of the most widely studied applications in NLP, but most work focuses on languages with large amounts of data. We introduce the first large-scale human-annotated Twitter sentiment dataset for the four most widely spoken languages in Nigeria—Hausa, Igbo, Nigerian-Pidgin, and Yorùbá—consisting of around 30,000 annotated tweets per language (and 14,000 for Nigerian-Pidgin), including a significant fraction of code-mixed tweets. We propose text collection, filtering, processing and labeling methods that enable us to create datasets for these low-resource languages. We evaluate a range of pre-trained models and transfer strategies on the dataset. We find that language-specific models and language-adaptive fine-tuning generally perform best. We release the datasets, trained models, sentiment lexicons, and code to incentivize research on sentiment analysis in under-represented languages.