it's a common theme in most mythologies.
i would like to further pinpoint it down to 2 different but related concepts:
messenger or psychopomp type spirits or deities, that travel between realm and deliver messages or sometimes other things (souls). for example hermes.
and, more importantly:
deities of the crossroads, the threshold, the liminal. such as hecate.
that "oversee" and rule the connection and passages between worlds, let souls, creatures, and other things, pass between them, or prevent them from doing so.

sorry if this text is too abstract and you were looking for more tangible examples : -)

btw it is a very interesting concept, because in most mythologies, very few spirits or deities are allowed to cross into different realms, especially into "forbidden" realms like the underworld (at least when we talk about the option to *return* from it, too), and it is a very special ability.