Originally Posted by
Seika
They are part of the same overall mythological milieu, I guess, if that's what you're asking? Iliad happens, Troy is later sacked, Odysseus goes wandering, Aeneas becomes new Trojan king - these are details that most Classical folk would have known. As to specific relations in the text of each to the others ...
The exact connexion of the Odyssey and the Iliad is ... tricky, and ties deeply into The Homeric Question - i.e. who the hell do we mean by 'Homer' and what did he/she do anyway? - which is something that still frustrates the entire Classical profession today, nevermind anyone else. In general, the current thinking is that the Odyssey was written later than the Iliad, and as a result its ties back to the earlier poem are stronger and more frequent than the degree to which the Iliad sets up the Odyssey. In general, the Iliad foreshadows parts of the rest of the Epic Cycle for Odysseus, but they mainly relate to the Iliou Persis, the Sack of Troy, and the Wooden Horse, rather than to the ten wandering years of the Odyssey. The Odyssey, however, looks back at the time period of the Iliad more explicitly: for example, in the Nekuia of Book 11, Akhilleus renounces his choice of glorious death over long life. It's usually assumed that the Iliad itself is being referenced, though you'll find a few scholars who argue that it's still only meant to refer to the Epic Cycle legend instead of the Iliad specifically.
Aeneas' survival is prefigured in the Iliad, where he is saved by Poseidon in Book 20 since he is not a descendant of Priam, and it is prophesied that he will survive to rule the Trojans and establish a new royal line. The Aeneid itself builds on this tradition to make Aeneas specifically the founder of a new Troy in Italy, whence in turn Romulus and Remus, by way of its nature as a particularly Roman epic. (The whole Italian/Roman thing was likely unintended entirely by Homer*).
*Blah Homeric question caveat blah.