American pulp magazines, more than any other single pop-media source, set the template for the production of American comic books. Even the comics' general disinterest in the later fan-fetish known as "continuity" may have been influenced by the pulps' disinterest in the idea of keeping their fictional histories straight.
However, certain authors in the pulp magazines were strongly self-referential, particularly the famed Robert E. Howard and H.P. Lovecraft, who built complex-- if erratic-- continuities out of diverse stories, and who, during their lengthy correspondences with one another, frequently borrowed elements from one another's universes. In this post I'll concentrate only on Robert E. Howard.
Over and above Howard's repeated use of similar character-types and themes-- a common facet of all professional authors-- he possesses a broad conception of real-world history that centered upon the persona of the "noble barbarian." Howard featured many such heroes in both modern and archaic periods, but all were united by this barbarian aesthetic.
The most substantial Howard crossover, IMO, is the short story "Kings of the Night," first published by WEIRD TALES in 1930. The illo above bills it as a story about his character King Kull, who existed in a prehistoric fantasy-realm that included Atlantis and similar kingdoms. In truth it's far more of a story about Howard's character Bran Mak Morn, a chieftain of the Caledonian Picts in the very historical era of Rome's British invasion. The story can be summed up briefly thus: Bran, hemmed in on all sides by Roman forces, needs the help of a contingent of Viking warriors. The Vikings will not help Bran unless he provides them with a king of their own race, as opposed to a "Mediterranean-looking" king like Bran himself. With the help of a Pictish sorcerer, Bran summons the living form of King Kull to his own time. The Vikings are impressed with Kull's regal bearing and join Kull and the Picts in beating back the Romans-- at least, for a while.
As a story this is only good but not great Howard: the main attraction is that of seeing two Howard heroes sharing the same story, in addition to the author's trademark barbaric pessimism and his view of the living world as an "insubstantial pageant faded."
Slightly later, a story entitled "The Dark Man," published by WEIRD TALES in 1931, gave the Pictish chieftain the pleasure of being resurrected at a later date. Centuries after Bran's death, a Gaelic hero named Turlogh-- whom Howard also featured in a half dozen stories-- accidentally resurrects Bran by calling upon the power of a Pictish idol. This too is good Howard, but not as memorable overall as the "teamup" of the king of ancient Valusia and the chief of the embattled Pictish nation.
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