I have a mythological omnibus titled "Mythology: The illustrated anthology of world myth and storytelling". It's big enough to down a horse, and is basically a compilation of several myths from all over the world. While it's anything but comprehensive, and lends far too many pages to Egyptian, Greek and Roman mythology in my opinion, it's still extremely fascinating. Unfortunately, the Norse don't get nearly enough screentime, nor do the Japanese. However, I'd still recommend it.
The general editor is C. Scott Littleton.
Unfortunately, it will overlap, being a very general anthology, but it's a good compilation nonetheless.