"A campaign setting that evolved from the B and X series modules. Unlike other settings, "The Known World" had ascended immortal beings instead of gods. Mystara was the "default" setting for the non-Advanced editions of D&D, and the Blackmoor setting was later retconned to exist in Mystara's distant past. This campaign setting is no longer officially supported."
There are several sub-settings of Mystara listed in the RPG Geek database:
Blackmoor was the original campaign setting of Dave Arneson (co-creator of Dungeons & Dragons) dating back to the 1970s. Arneson left TSR in the early 1980s. Then in 1986 Blackmoor was retconned as being in the past of the Mystara setting through series DA - Dave Arneson's Blackmoor, being set in the same area of the planet as the core Known World of Mystara. Historically, the technologically advanced civilisation of Blackmoor destroyed itself cataclysmically, shifting the planet's axis.
The Savage Coast which covers the area West of the core Known World, on the other side of the great desert of Sind. The Savage Coast features a substance called Cinnabryl (a.k.a. Red Steel) that gives its users great power but at the cost of addiction, sickness, mutations, death, or undeath. The setting has a strong piratical feel.
The Hollow World which is another set of lands located on the inside surface of the planet Mystara. The Immortals use this as a safe area to place failed civilisations, preserving cultures that on the outer surface are extinct. The widely varying civilisations have little interaction with each other due to geographical barriers artificially created by the Immortals.
Thunder Rift was created as a standalone campaign that could be slotted into any fantasy world. But the intention of the designer, Colin McComb, was always that it was part of Mystara, somewhere in the mountains bordering Karameikos (source). This beginners' campaign was then designed to lead players to the more complex world of Mystara, and the adventure Escape from Thunder Rift provided this link explicitly.