Generational Background Features

You can use background features to connect characters between campaigns. Characters who have previously adventured in Ravenloft, Ravnica, Eberron, or 9th Century Earth, make good candidates for being your new character's mentor or relative. Alternatively, the deed of your characters in previous adventures, might have impacted your new character, throwing them into threat or danger. Whatever details you and your DM decide upon, such connections can forge the continuing legend of a whole family of heroes.
If your interested in exploring this, the Inheritor background feature (see Ravenloft Basic Background Features) provides a token that might be passed on from a previous character. Perhaps it's a signature tool, a journal, or a dormant (or misplaced) magic item. Work with your DM to detail this inheritance and how it can factor into future adventures.