Again, depends on when you are asking.
Prior to AoS? Up until around when the Necrons got a full codex and background [2002-ish], the Old World really was one world of many in the 40K galaxy [see post immediately above for citations], but that started to be changed around the time the Slaan stopped being the "seeding species" of the galaxy, and were replaced with The Old Ones. And then the Old Ones were retro-fitted to having been 'gods' equivalent to the Chaos Powers, or the Eldar divine gods, and then were all killed:
The Old Ones also around this time replaced the Brain Boys - the incredibly intelligent Snotlings that had created the Ork species as a subervient slave species, but then catastrophically lost their intelligence. That stopped having been true, it seems, and now the Old Ones were the species that created the Orks, for the same reasons, but who were killed off by the C'tan and by Slaanesh.
This was around the same time the Lizardman army books stopped having the Slaan frog-men be the decayed remnants of the "galactic Slaan species," and started having the Slaan also be a created subservient species to the Old Ones, and about the same time that GW started trying to divorce the two settings.
Then AoS came, and theoretically divorced the two settings completely, elevating Sigmar to an actual pantheon-style god [ending the "Sigmar was a lost primarch" idea], and elevating Nagash likewise, each equivalent to the full fourfold Chaos pantheon, skewing the dynamic of the setting away.
Except now we see rumours and hints [such as in the demons codex and army book] that the two might still be linked, and fan speculation that the warp-rift in 40K simply "ate" the Old World into the Realms of Chaos, making it in effect a contested "daemon world" within warp-space.
Phew!
Madness.
* Addendum to the earlier post up above this one:
Liber Chaotica also repeatedly makes reference to Chaos Space Marine champions in the Warhammer World setting, and it was published in 2005, so they were the same setting for SOME of the setting folks, at least that late, despite changes starting as early as the writing of the Necron codex that was published in 2002.
- WD 100 includes the scenario "The Floating Gardens of Bahb-Elonn", which mentions that the Pygmies are the descendants of a crashed spaceship before the Slann arrived on the world.
- Realm of Chaos : The Lost and the Damned mentions explicitly that the Known World is a planet cut off from the rest of the Imperium due to important warp storms ("The Warhammer World is bound by storms of magic so that it remains isolated form the other wolds of the human galaxy"). It also has some ambiguous mention of a scenario with a crashed spaceship, and another with "The Obsidian Crag", a mysterious place full of weird technology in the Chaos Wastes (obsidian is quite often associated to the Slann). And of course one of the divine rewards was to transport a Chaos band to and fro from the Known World and the galaxy, and WFB followers and chaos gifts could include 40K troops and technology.
- WD 108 contains a scenario about a warp gate linking the Known World to some random planet, which has unleashed an Ambull in some cave in the Empire.
- The Star Boat, a novel by Stephen Baxter, has a Norse expedition to the Chaos Wastes to recover a Slann spaceship.
- Both the Albion summer campaign, as mentioned earlier, and the Amazons and Lizardmen groups from Lustria [Mordheim and WFB] include magic equipment such as flamers, power fists, and so on, found either near the collapsed warp-gates or in ancient Slaan tombs, again - like the RoC books - setting the two in the same galaxy.
* Another addendum: I actually prefer the "von Daniken" Slaan origin of the species, from Rogue Trader and old WFB, to the "divine War in Heaven Old Ones" story that replaced it, despite being a fan of Cosmic Horror SF.
* Last Addendum, post AoS, the Slaan are being 'elevated' once more, though not as high as the "Old Ones" are now in the 40K setting. The AoS Slaan are now a void-faring species, with only a few remnants of their former numbers, seeking to guide and manipulate lesser species and able to manipulate warp-gates, and worshipped as gods on multiple planets.
Go figure.