There are various spells that let Awakened mages go to the Twilight and Shadow realms. Some of them (Ghost Gate and Spirit Road) open a portal for anyone to step through. Also, werewolves can enter the Shadow realm by spending essence. There are also some spells that allow real-world items to turn into ephemera (ghostly objects) so you can use them in Twilight or Shadow realms. That hints that you can't use any of your "normal" items without turning them into ephemera first.
Suppose a mortal/mage stepped into a Spirit Road and found himself in the Shadow realm. Are all his clothes, weapons, armor, and tools left in the Fallen World? Is he now completely naked, unable to carry any objects with him into the Shadow realm? Or can he carry his belongings but not use them to interact with the Shadow realm in any way (e.g. to attack things or pick locks)? What happens in Twilight? Is it the same as the Shadow realm in terms of object relations?
What happens if we think the other way around? What if said mortal took an ephemeral knife from Shadow/Twilight realm and brought it back to the Fallen World? What happens to the knife? Will it be left behind or can he carry it around but not attack with it because its ephemeral and not physical?