Nikon and Canon chose different strategies for their entry-level market new cameras: Canon chose to provide a 15 Mpix resolution sensor with a small pixel pitch (4.7 µm), and Nikon provided a sensor with only 12 Mpix, but with a larger pixel pitch (5.5 µm).
Here is the summary of DxOMark performance for the two camera sensors:
The Nikon D5000 outperforms the Canon EOS 500D for every score evaluated on DxOMark, but the differences are more significant for color depth (1 bit is equivalent to 2/3 stop) and dynamic range (1 Ev is 1 stop) than for low-light ISO (the difference between the 2 cameras is about 1/3 stop). Of course, as the Canon EOS 500D provides a 15 Mpix sensor, the sensor (with an appropriate lens) should be able to capture slightly greater detail.
In contrast to low-light ISO score, color depth and dynamic range characterize the sensor at low ISO settings. Even if the Nikon D5000 achieves better scores at high ISO settings, the differences observed for dynamic range and color depth are higher at low ISO settings and explain the gap between the two cameras with respect to their Sensor Overall Scores.