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The question of whether Warhammer and Warhammer 40k are connected has been around since Warhammer 40k first emerged. And, in the beginning, it really looked like they were. Space Orks, Space Elves, Space Dwarves. But lore and canon have changed.
The answer is really simple: No, Warhammer and Warhammer 40k are not connected. Which is to say that they’re not part of the same reality or universe.
There are things to suggest that they are, such as the Slann possibly being the Old Ones. There’s obviously Orks and Orks (or Orruks in Age of Sigmar).
But the biggest similarity and reason to Warhammer and Warhammer 40k are connected is Chaos. Khorne, Nurgle, Tzeentch and Slaanesh all exist in Warhammer 40k and Warhammer Fantasy (and therefore Age of Sigmar). And we know in Warhammer 40k lore that Slaanesh was “birthed” in the relatively recent past due to the hedonism of the Eldar.
So if they’re NOT connected, then why do these four Chaos Gods exist in both Warhammer and Warhammer 40k? The answer comes conclusively from White Dwarf #487. In “Ask Grombrindal” it is explained this way:
“The Mortal Realms–and the Old World which preceded them–exist in a totally different reality to the 41st Millenium. The Realm of Chaos, where Slaanesh resides, exists outside of both these realities, although it is connected to them. It is a strange metaphysical place formed of emotions, abstract concepts and ideas, where such mortal notions as causality and linear time have no meaning. So while you’re right, and Slaaneshg was created during the Fall by the hedonistic lifestyle of the Aeldari, the Dark Prince exists beyond time and space and his minions can manifest in many realities.”
So, no, Warhammer 40k and Warhammer Fantasy do not exist in the same reality. But both are connected to the Realm of Chaos.