Yes, they do! They both take place in the same universe, called the “Cosmere”, on different planets. There are several other works of Sanderson’s that are also in this universe, though not everything he’s written. You can read most stuff as standing on its own perfectly fine, but the further you get into the books, the more connections start to appear.

Sanderson has a page on his website explaining some more for newcomers: https://www.brandonsanderson.com/what-is-the-cosmere/