Despite what you may have heard from Robert Asprin’s press agent, there was a shared-world anthology that predated Thieves World by several hundred years. (It also outsold it not inconsiderably, although as in the case of Dan Brown, it should be remembered that popularity is not the same thing as literary merit.)
It meets all the criteria: it is the work of multiple authors all working within the premises of a single setting, published in a unified form.
It is, as the title has already spoiled for the more alert reader, The Bible. But, considered this way, the question must needs be asked: is it any good?