I would focus on one thing at a time.
Back when I first started playing D&D, TSR cranked out a smorgasborg of campaign settings. My players first romped through Greyhawk, but then we discovered Ravenloft, then Planescape. They even gamed in an early version of my homebrew setting: Domikka. Others in the group ran Dragonlance and Dark Sun. We wanted it all. We thought we had all of the time in the world.
But as I mentioned on Day 25, the Greyhawk Campaign never got finished.
So I would have focused on getting that done, before moving on to another setting. I would have made Planescape a seperate campaign.
But we did have a blast, despite the distractions.
In recent years, when I start a new campaign, I aim for a shorter time committment. I tell my players: "I plan on running this campaign for a year. Can you commit to that? Can you commit to playing every (Sunday Afternoon/two weeks/etc.) for a year?"
I've finished more campaigns that way.
For my next campaign I might break it down into "seasons" of about three to six months (depending on how often we play).
But for now, I'm easing off running campaigns.