Argh! Fuzzyboots mentioned the Cthulhu Mythos before me.
I remember a shared world project that might possibly have a similar date as Thieves World. I remember reading a story in a magazine set on the same planet as a story by another author and wondering what was up. It turned out that it was a shared universe. I later read a collection of stories set on that world and noted that the writers did not agree on how many limbs the "fuxes", the people of that world, had.
I now believe the anthology was Medea: Harlan's World (1985), edited by Harlan Ellison. Several of the stories were published as early as 1978. And articles describing Medea were published as early as 1975. -
In Tarzan Alive (1972) Philip Jose Farmer (1918-2009) created the "Wold Newton Family" by claiming that many fictional characters created by other writers had mutant powers because of being descended from a group of related and intermarried travelers who were exposed to radiation from the famous Wold Cottage Meteorite on December 13, 1795. The "Wold Newton Family" has since been expanded into the "Wold Newton Universe" by Farmer, Win Scott Eckert, and others.
Eckert also created a Crossover Universe in Crossovers: A Secret chronology of the World (2010).
Fletcher Pratt (1897-1956) made his novel The Well of the Unicorn (1948) a sequel several generations later to Lord Dunsany's play "King Argimenes and the Unknown warrior" (1914).
Ambrose Bierce (1842-1914?) wrote "An Inhabitant of Carcosa" in 1886. Robert W. Chambers (1865-1933) mentioned Carcosa in several of the short stories collected The King in Yellow (1895). The King in Yellow was a character in a fictional play called The King in Yellow set in Carcosa, which may be on another planet. Carcosa became part of the Cthulhu Mythos.
And no doubt there are older examples.
Arrgh! Again! eshier beat me to mention the shared world anthology The Petrified Planet (1952) edited by Fletcher Pratt (see above).
And also see my answer and other answers to this question: Who was the first author to rework another scifi/fantasy author's character? 3
It is possible that the sequels to Amadis de Gaula, medieval Arthurian romances, medieval saint's lives, or ancient Greek epic poems could be considered the first shared fictional universes.