Honore de Balzac's Human Comedy is a series of short stories and novels, comprising 91 finished and 46 unfinished works, incorporating his entire output under his own name and presenting every aspect of post-1815 French society with reappearing characters.
Marcel Proust's Remembrance Of Things Past is a seven volume novel of about 3200 pages, featuring more than 2000 characters.
Sinclair Lewis set a series of novels with recurring characters in the fictitious city of Zenith, Winnemac, and is said to have made architect's models of the characters' homes.
Robert Heinlein got the idea for his Future History from Sinclair Lewis. Stories in the Future History are linked by common references to fictitious place names like Luna City on the Moon, Drywater on Mars and Venusburg on Venus and the canon originally included Stories To Be Told (see here).
Poul Anderson's Psychotechnic History was modeled on Heinlein's Future History. Heinlein's Editor, John W Campbell, had published Heinlein's Time Chart for his Future History so Anderson devised a similar chart, then set stories in it.
Anderson's Technic History originated, instead, by linking together a series set in a period of interstellar capitalist expansion to a series set in a later period of interstellar imperial decline.
These five authors transport their readers from 1815 into remote futures.