For those of us who came to D&D with 5th Edition, it might come as something of a surprise that The Shadowfell is a recent addition to the D&D multiverse. Introduced only in 4th Edition, there were previous notions of a "plane of shadow" and such, but it was, I believe, less clearly delineated.
Ravenloft as a setting was only codified after the first couple adventures were released - the original Ravenloft with Strahd and the castle that would go on to give its name to the overall setting, and then The House on Gryphon Hill, which I believe introduced what would come to be the domain of Mordent. The original module came out all the way back in 1983, while the campaign setting's first broad sourcebook wouldn't come out until 1990.
In this earlier conception, Ravenloft was somewhat more similar to other settings, in the sense that there was a linked physical geography - a continent known as "The Core" that held within it such lands as Barovia, Darkon, Falkovnia, and Mordent.
These lands were geographically connected, but the Darklords still had control over whether anyone could pass through their misty borders. Mechanically, as I've tended to understand it, is that if the Darklord won't allow you to leave (and it's up to the DM whether they will allow you or not) your only other recourse is to kill them, which won't solve the problem permanently, but will at least allow escape until the Dark Powers bring them back.
But what this meant is that domains might go to war with one another - Strahd could send his forces to attack Darkon, for example, and Azalin might send forces against Barovia. It was - and the caveat here is that I was not playing at the time so this is just my impression - a little more of a classic fantasy map with warring kingdoms and such.
Formed somewhat during 1st Edition but really codified in 2nd Edition, the "Great Wheel" cosmology established a nesting system of planar cycles - you have the various elemental planes, along with the quasi-elemental and pseudo-elemental planes, and then on the outside, the outer planes, and somewhere in there the prime material plane, where most of D&D's settings are found and where any Earth-like world would be (Earth being, canonically, in that plane).
In 4th Edition, the folks at WotC started to feel that this system had too many planes - all the quasi- and pseudo-elemental planes were pretty excessive, without much lore about what actually existed in them, and then you had not just the planes representing each of the nine points on the alignment chart (lawful good, chaotic neutral, etc.) but also planes in the gaps between them, like Acheron, the Lawful Neutral/Lawful Evil plane.
They decided to create a new cosmology, called the "World Axis," and here the Prime Material Plane was in between two great regions - the Elemental Chaos and the Astral Sea. This introduced a concept of a conflict between Gods and Primordials (an element that is still a big part of Exandria, Critical Role's setting) with Gods being more transcendent, ethereal beings (and I feel generally more lawful) while Primordials were these more grounded, elemental, and, well, probably more chaotic beings.
Crucially, the planes in the World Axis model were not required to be all balanced against each other. They were seen as a "Thousand Points of Light," free-floating in their respective mediums (the aforementioned Astral Sea and Elemental Chaos).
However, between these two regions, sort of "next to" the Prime Material, there were two other planes - the Feywild and the Shadowfell.
The "Plane of Faerie" had existed in various forms in previous editions. Indeed, the Chaotic Good plane of Arboria in the Great Wheel cosmology largely played the role of this fey realm, with Eladrin first introduced as elves from Arboria. (The Gloaming Court, on the other hand, with its Queen of Air and Magic, called Pandemonium its home.) But while the Upper Planes still have plenty of hazards for adventurers, the Feywild allowed for the creation of a totally morally unaligned realm that could easily house all the wonder and whimsy and the creepiness and horror of fairy tales.
I don't actually know what the real impetus behind the creation of the Shadowfell was. In certain ways, there's actually a lot of overlap between the Feywild and the Shadowfell. Hags, for example, are your classic wicked witch (in the Wizard of Oz vein, where witches aren't just human spellcasters) and a dark and scary forest filled with monsters would be right at home in the Feywild.
But the Shadowfell is still kind of an opposite to the Feywild in that while everything is heightened and emotional in the Feywild, the Shadowfell is drained and bleak.
It's... honestly a bit of a tough sell for a fun place to adventure.
But, it just so happens that this general vibe - of being stuck going through the motions, performing compulsive actions whose motivations feel distant and forgotten, actually fits pretty perfectly with Ravenloft's Domains of Dread.
The Shadowfell as presented in 4th Edition's Shadowfell: Gloomwrought and Beyond, depicts a dark reflection of the prime material plane. While the eponymous city of Gloomwrought is not, as far as I know, meant to be the direct counterpart to any prime-material-plane place, we do later on get Evernight, a city that stands as the Shadowfell equivalent of Neverwinter in the Forgotten Realms.
What I find sort of weird, though, about the Shadowfell as a plane, is the way that WotC has focused on the Ravenloft setting. Unlike the broader Shadowfell, the Domains of Dread don't (or do they?) correspond to any particular region of the prime material plane. We do know that some of them were taken from the prime material - Barovia, for example, once existed as part of a larger world, but was drawn in along with Strahd when he became the first Darklord (and also D&D's multiverse's first vampire, so this probably happened a very long time ago). But given that we've never learned what world Barovia was taken from, we don't know what was left in its place.
Frankly, I think it would actually be really cool if Barovia as we know it isn't actually the "real" Barovia, but is just the Shadowfell reflection of it, and that there's actually a valley in some world that is either a perfectly pleasant, thriving place, or perhaps uninhabited, with the ruins of towns that may or may not have names like Vallaki or Krezk.
However, such a valley would presumably have some kind of spatial relation to the world around it, whereas in 5th Edition, this idea was jettisoned, instead making each Domain its own weird little pocket dimension, floating freely in the Mists.
Given the popularity of Ravenloft as a setting compared with that of the Shadowfell (more popular because of A: a popular adventure book that is probably the most beloved in 5E, and B: it's more established and thus gets more points for nostalgia) it almost feels like through much of 5E, they've more or less treated the Shadowfell as being one and the same as the Domains of Dread.
Indeed, the idea of a plane like that being broken into separate "domains" carries over to the Feywild with the Wild Beyond the Witchlight, where we travel to the realm of Prismeer (we literally just had a session earlier this evening, which is why it's on my mind,) and which seems to function in some was similar to the Domains of Dread, but in this case are called Domains of Delight. Instead of a Darklord who is a prisoner in their Domain, each Domain of Delight has an Archfey who is just its ruler, with no implication that they're being tormented by some kind of "Fey Powers," or even that there are any such powers whatsoever.
To be honest, I felt like this was a weird choice. The Feywild was never very well-defined - the Wild Beyond the Witchlight was the first adventure to focus on the Feywild even though the plane had been officially introduced in the previous edition.
I'd wondered if they were intending to abandon this idea of the Feywild and Shadowfell being "mirror realms" to the Prime Material Plane.
But then, with Vecna: Eve of Ruin, early on in the adventure the party travels through Evernight, having been sucked into the Shadowfell after beginning their journey in Neverwinter. It's not an extensive stay or anything - the adventure sends you off to different worlds and different planes, including a trip to Barovia itself. But it does stand out as a reminder that the "Shadowfell Proper" is still a concept in the canon lore of D&D.
I will say, though, that I do kind of get the impulse to focus more on Ravenloft's Domains of Dread, and to expand that concept into the Feywild's Domains of Delight (though maybe it's the Sandman fan in me, but I feel like Delight is too positive for the Feywild and might like to see Domains of Delirium). Especially for prefab adventures, this type of setting has clear borders and focuses the players down a finite number of paths.
But I'd argue that for someone who likes to run more free-roaming homebrew campaigns, it might actually be preferable to use the "reflection of the prime material" versions of these planes. A couple years ago, I took a couple regions of my homebrew setting (with maps I made on Inkarnate) and created copies that I then edited, changing the names of locations, the overall look of the world, and now have very satisfying alternate maps showing the Feywild and Shadowfell equivalents of those places.
Now, when I finally get around to running a campaign set in my own world (I guess I never expected this Ravnica one to go on so long!) I'll easily be able to manage it if players find a Fey Crossing or a Shadow Crossing.
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