Despite being an internally consistent multiverse, the Nasuverse only has crossovers in incredibly round-about ways. Part of the problem is, well, Word of God stated that some of the characters simply cannot exist in the same universe for Canon reasons.
Aoko Aozaki spends time in the beginning of Tsukihime with a young Shiki Tohno, appears later in Melty Blood, and is the main character of Mahoutsukai No Yoru. Her sister, Tohko Aozaki, is the Older and Wiser mentor figure of the (arguably) Tsukihime-prototype, Kara no Kyoukai, plays a major role in Mahoyo, and is mentioned in an ending of Fate/stay night. Despite each of them knowing a different Shiki (each possessing the Mystic Eyes of Death Perception) it's explicitly stated that Tohko and Arcueid cannot exist in the same universe (and most likely, Shiki Ryougi and Shiki Tohno can't, either).
Shirou's employer at his part-time job in Fate/stay night (who appears once in an easily-missed scene) shares a name with a drug dealer in Kara no Kyoukai.
Cornelius Alba of Kara no Kyoukai makes a cameo appearance in the Fate/Zero anime adaptation, though he doesn't appear in the original light novels.