Taxonomies can be shared among multiple post types, but if you’re looking for post types relationships, you can try using the Types plugin (free) with the Views plugin (premium) or code the functionality from Types. I’ve just started playing around with this and it enables easy creation of relationships between post types.
Their example: you can have post types Cars and People and use post type Rental Agreement to link the two in many-to-many or one-to-many relationships.