Savage Worlds is certainly capable of playing in a world and genre-hopping campaign (I suspect that's partly because Torg, which is all about this, is creator Shane Lacy Hensley's favorite setting of all time). However, there are a couple of things that you need to keep in mind.
First, character content from one setting is generally not created with the intention of having it being used in another setting. That's not to say that they can't be used, but it really works best if the settings have similar tones and power levels. Edges from Rippers, Realms of Cthulhu, or the Horror Companion generally work in Deadlands because they all have similar tones or horror and struggle. But ones from Slipstream would not since it is more lighthearted and pulpy (e.g. Iron Jaw granting +2 Soak, Sucker Punch granting a free attack with a successful Test of Wills). If another setting gave you the Fearless ability (immune to Fear checks), then you've taken out one of the main conceits of Deadlands in that it's a horror genre.
The other main issue you'll run into is that of gear. It should go without saying that a lasgun from a futuristic setting will be far more effective than a spear from a prehistoric setting. You'll definitely need to deal with that.
However, there are ways to deal with this discrepancy. I'll give an example of mixing Deadlands, the horror western setting, and Slipstream, the pulpy sci-fi setting.
Anything We Should Ban?
There isn't anything in Slipstream that could outright bring a setting to its knees (one thing I wanted to make sure of is that custom races would not permitted to gain the Fearless ability), so I don't need to ban anything. That's easy.
Anything From One Setting that Is Mechanically Inappropriate for the Other?
Some of the Edges are mechanically more appropriate in one setting than in the other. For instance, Slipstream has Iron Jaw (granting +2 to Soak checks). This makes sense in the pulpy setting with invincible heroes who can ride solar winds, but doesn't work in the dangerous setting of the Weird West. The same issue happens with weapons and other gear. A Ray Gun is better than a Peacemaker pistol and a rocket ship is better than a horse. So if I'm going to allow those to be used in the other setting, there has to be an opportunity cost.
Sometimes, there may already be a limitation that balances things out. For instance, rocket ships in Slipstream need rocket fuel, which is nonexistent in Deadlands (although maybe you could have a sidequest to get a mad scientist to create some from ghost rock). Similarly, ray guns need a power source, which is likely non-existent in Deadlands. Thus Slipstream tech is only useful until the power source or ammo runs out and, as long as PCs aren't stockpiling in preparation for going to a new world, you may not have to do anything to keep it balanced.
Bennies as a Way to Balance It
One way to resolve this is to take a page from Torg. In that setting, you would often have characters from high tech settings (e.g. the Cyberpapacy) walking around in low tech settings (e.g. the Living Land, a sort of Land of the Lost setting). Cyberpapacy technology flat out did not work in the Living Land, but players could spend a Possibility Point to "create a bubble of the Cyberpapacy cosm" around themselves, allowing it to work for a short period of time. However, the reverse was not necessary; a caveman from the Living Land could still swing his club and all that in the Cyberpapacy because it was such a basic thing. In general, this meant that characters playing more advanced characters had a Possibility Point tax to get their stuff to work, while less advanced characters could use those points for other stuff. This also applied to magic and other sorts of special abilities.
You can easily do the same thing with Savage Worlds. In order to use an Edge or gear that is overpowered for one genre, but not gamebreaking, you could have them spend a Benny at the beginning of the session or scene to have it activated. For egregiously overpowered stuff, you could make it so that one Benny allows for one use. As such, less advanced characters will have way more Bennies to use for rerolling, soaking, and other abilities whereas more advanced characters will have to decide if using their new stuff is worth having fewer Bennies.
Also, I don't think that it's necessary to have this limitation if the Edges or whatever are useless in one setting. Rocketship Gunner is great in Slipsteam, but since there aren't any rocketships in Deadlands unless you bring one with you (in which case I'd require you to spend at least one Benny to allow it to work), it's useless in one setting and thus should not be penalized.
Consider the Skill Specializations Setting Rule
In Savage Worlds, Shooting works for everything from slingshots to capital starship gunning. While this isn't normally a problem when tech levels are close together, it seems a bit odd for a wild west lawman to be able to fire the Millenium Falcon's turrets. You could either institute skill specializations (from the Setting Rules section of Savage Worlds) for different types of weapons (e.g. firearms, laser weapons, mounted laser weapons, etc) or technology levels (e.g. medieval, modern, future tech) with characters getting a free specialization in their "home tech". That way, they can use technology they are accustomed to for free, but take a –2 penalty to checks if using one that they are unfamiliar with, unless they spend a skill point to gain a new specialization.
It can certainly be done, but you just have to find ways to make sure that Edges, gear, and other stuff from one genre doesn't ruin another genre and that there is some sort of means of balancing to make sure that high tech/high magic characters are still on level with low tech/low magic characters. Bennies are a great way to do that, as are skill specializations.