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/
Oh hey that’s the article that lead to me getting diagnosed! I read this right after coming back to work after a long COVID furlough. I had been finding it really hard to be back at work and was seeing a therapist for depression (again) then read this and realised that it had actually definitely been ADHD the whoooole time and the current problem was the complete atrophy of all my coping mechanisms after so much time not using them.