Cross-domain session ids
Session ids are passed around using cookies by default. Since your websites are on different domains the session cookie does not transfer over, so that’s one thing that prevents cross-domain sessions from working.
One technique to have the session ids transfer over is to append them to the query string of all your requests (PHP even has some degree of built-in support for this). However, this way of doing things has many drawbacks — the most important being that people copy/paste URLs all the time, with all that implies about revealing valid and reusing invalid session ids — and therefore is not recommended.
A much better approach would be to use Javascript to make cross-domain requests across all of the interested domains (which would need to be cooperating in this of course). This way you can seamlessly transfer your session id across as many servers as you need to.
Shared session data
Even if the cookie were not a problem, you would need to have the session data on some storage commonly accessible by all your servers. The default storage is the local filesystem, so again this is something that needs to change if you want cross-domain sessions.
A simple solution to this problem would be to use a custom session handler that stores the data on a database or other globally accessible store.