Multiverse II

A multiverse incorporating parallel Earths with some characters and events that are fictions on one Earth but real on another has existed in:

the film, The Last Action Hero, starring Arnold Schwarzenegger;
a number of monthly comic books with a common publisher;
A Midsummer Tempest by Poul Anderson.

What this scenario needs for its fullest development is a team of competent authors writing parallel series that periodically overlap like Edgar Rice Burroughs' Tarzan At The Earth's Core but done much better. Alan Moore, explaining comics crossovers, asked his readers to imagine Frankenstein kidnapping the Little Women, investigated by a team-up of Sherlock Holmes and Hercule Poirot.

Despite Poul Anderson's massive output, he did not have much time or, probably, inclination to cross-refer between his fictional universes. However, he does capture the essence of the multiversal scenario in two short chapters and a one-page epilogue of A Midsummer Tempest:

Holger, real in the Carolingian universe but a myth in several others, has spent some time on an Earth where there was a World War II against Nazi Germany, is now traveling between universes trying to return home and has just encountered real Aztec gods;

Valeria Matuchek, born on an Earth where World War II was against the Saracen Caliphate, meets Holger while traveling between universes for research purposes but also meets a Prince Rupert of the Rhine from an Earth where Shakespeare's plays were true histories;

in the Epilogue, Valeria addresses a group that includes Sherlock Holmes and Huckleberry Finn.

We are free to imagine an endless multiple series in which these characters mostly lead their own lives but occasionally meet either by accident or in common response to some vast multiversal crisis. In fact, Anderson's Operation Chaos, during which Valeria is born, begins with an attempt to broadcast a lesson and a warning to other universes before it has even been verified that they exist...