The different Games Workshop Warhammer games are based on different timelines/universes. Warhammer 40k is a sci-fi universe based on the galaxy in the 41st millennium, Age of Sigmar is a more classical fantasy world with heavy inspiration from Lord of the rings, the Old World game is actually only just released in January of this year where the others have been around for decades, it is more of a precursor to the Age of Sigmar universe.