Play Sets are specific Disney worlds. Only characters from a Play Set's world can enter that Play Set. For instance, only Sulley, Mike, and Randy can play in the Monsters University Play Set.
In Disney Infinity 2.0 and 3.0, crossover coins can be collected to allow some Marvel Super Heroes Figures to work in other Marvel Play Sets and some Star Wars Figures to work in other Star Wars Play Sets.
However, you can mix and match all of your favorite characters to create your own world in your Toy Box!