I recently began a project that uses entity framework with two databases, one Oracle and one SQL Server. I could not find any information regarding cross-database or multiple database support in the entity framework.
Most posts from the MS Entity framework team are a couple of years old and indicate that including two databases in a single model is not a feature that will be included soon. I would be interested in having a concrete answer on whether it was included in 2010 myself although I suspect the answer is no.
Currently out project gets around this limitation by having a separate entity model for each database. This has solved the problem for the majority of the scenarios we've encountered thus far in the project.
In cases where we've needed to query the data from the two databases at the same time, we simply created a view in one or the other databases. Since we're using Oracle and SQL Server, this view would utilize either a Linked Server (SQL) or a DBLink (Oracle).
The disadvantage of views in the entity framework is we've had to spent more time than I expected getting the primary keys working.
Hope this helps.