Both universes are connected by the Warp.
Not only that, but The Old Ones and the Slann are also common to both universes, and were in fact creators of the Eldar and the Orks, at least. It is generally agreed that the world of Warhammer Fantasy is either a world still lost to the Imperium after the Age of Strife, a world inside the Eye of Terror, or a world isolated by Warp storms.
In addition, Sigmar, the first Emperor in Warhammer Fantasy, and the man that united mankind in that world, is also hinted to be one of the two lost Primarchs. His life is very much alike that of most other Primarchs prior to their reunion with the Emperor, and the Twin-Tailed comet, holy symbol of the Empire and sign of Sigmar, also looks suspiciously like a drop-pod.
Someone also mentioned that you could use Chaos Space Marines in WFB. That is true (although their bolter didn't work), but more recently, in the current 5th ed. you still have many special characters in Chaos Demons that share both worlds.
So, there you have it. There are more links, but GW refuses to comment on the matter.