During the opening credits, there is a shot of a man and a boy running towards a truck in the gas station before the apocalypse. With closer inspection it is revealed to be Kenny and Duck.
Vince's story is very similar to Lee Everett's story in "A New Day": Both characters were being transported to prison for killing someone, it took place at the beginning of the apocalypse and they both used a shotgun to kill the first walker they encountered.
Russell's story begins with him walking along the same road from Long Road Ahead.
If you play all five stories in the chronological order, and kill Clyde in Russell's story, Bonnie's story has no interaction with a walker.
The Everett Pharmacy Drugstore appears in the background at the beginning of Vince's story, completely intact and running, given that it is still before the apocalypse.