It depends on the kind of Domain you're dealing with
There are two significant classes of Domain in Ravenloft - Core domains, and Islands of Terror. Let's address Core domains first.
Core domains are part of the so-called Core (Ravenloft Campaign Setting), a continent in Ravenloft composed of many Domains that are all connected to each other without the Mists cutting between them. All around the edges of the Core are the Mists of Ravenloft, which denote the boundaries of that continent. However, and this is important, there is no permanent establishment of the Mists within that boundary. While the Mists sometimes appear to deposit beings (either those stolen from other worlds or those utilizing the random transport power of the Mists; more on that later) they don't stick around, they don't lurk, and they don't affect travel between Core domains.
Only two things beyond an outside force (such as, say, bandits or hostile magic) affect travel between Core domains - the Darklord sealing the borders, and geography. The latter is simple enough - some Domains are bordered by mountains, mighty rivers, oceans, or other ordinary traveling hazards that can make crossing the border difficult on their own, just like they might in any other place. However, in the absence of a Darklord closing the borders the boundaries between Domains in the Core are essentially just political boundaries as far as the ordinary traveler is concerned.
Things change somewhat when a Darklord chooses to close their borders. When any Darklord (with the exception of the Lord of Falkovnia, who does not possess this power - see the Ravenloft Campaign Setting) chooses to close their borders, supernatural travel across them stops entirely. Psionic powers, divine magic, teleportation spells - all of them fail to transport across the political boundary entirely. Additionally, another effect occurs depending on the Lord in question - and it's important to note that these effects can be surmounted. For example, the lich Azalin (Darklord of Darkon) sent an army of the undead into Barovia even though Strahd had the borders closed; Strahd's borders took the form of a choking fog that failed to harm the lifeless undead. A clever or simply immune traveler can therefore sometimes cross into or out of sealed Domains depending on what, precisely, protects the boundaries - some protections being more comprehensive than others.
Islands of Terror
Islands of Terror are domains that are entirely surrounded by the Mists, possessing no political borders with other Domains. The Islands pose their own challenges to the potential traveler, starting with getting to them in the first place. The Mists of Ravenloft have a random effect on those who attempt to travel through them (Ravenloft Campaign Setting, Islands of Terror), depositing them somewhere in Ravenloft unless they have a guide (such as a Misty Ferryman, see Ravenloft Monster Manual), powerful magics to secure their passage, or the interest/attention of the Dark Powers. This also means that leaving an Island whose borders are not sealed is as easy - and hideously dangerous - as simply stepping into the Mists and praying you get back out before something that dwells within them devours you.
The Darklords of the Islands also have the power to seal their Domains, precisely like a Core Domain. Their protections tend to be more comprehensive (like the shifting garbage piles of Nossus) and likewise prevent magical travel into or out of their Domain. The plague-ridden domain of Nossus, however, is worthy of note because its Darklord has the supernatural capability to attract and ensure steady trade with other Domains and sometimes even other worlds in order to fuel his ruined holdings. Some Islands, like the Domain of the Headless Horseman or the theater ruled over by Simon Juste, can temporarily overlap with other worlds and prove very difficult to escape conventionally even if the borders aren't closed - however, these are the exceptions, not the rules, and can be easily researched on their own terms (Ravenloft Campaign Setting, Islands of Terror, Darklords).