In At the Mountains of Madness, Clark Ashton-Smith, one of the major early contributors to the Cthulhu Mythos, is mentioned by name
Dyer and Pabodie have read Necronomicon and seen Clark Ashton Smith’s nightmare paintings based on text, and will understand when I speak of Elder Things supposed to have created all earth-life as jest or mistake.
Smith was indeed a visual artist as well as a writer, and although he is best known today as a writer of prose and poetry, many of his drawings, paintings, and sculptures can be seen on the Eldritch Dark Web site devoted to his work. (By mentioning Smith's artwork, rather than his writings, Lovecraft may or may not have meant to avoid the potential contradiction of having Smith's writings—and, by possible extension, his own—existing in his fictional universe.)
There are, of course, many sidelong allusions by Mythos authors to their friends, colleagues, and correspondents. Lovecraft himself mentioned Smith again in "The Whisperer in Darkness," which speaks of "Commoriom myth-cycle preserved by the Atlantean high-priest Klarkash-Ton." "The Haunter of the Dark" was dedicated to Robert Bloch and features as its protagonist a young horror fiction writer named Robert Blake. However, Robert Blake is not Robert Bloch; for one thing, the Blake of the story is killed by the titular monster.
There are, of course, plenty of mentions of earlier generations of more famous writers and artists. For example, At the Mountains of Madness also mentions Edgar Allen Poe and the painter Nicholas Roerich (who was actually still living and painting at the time of publication). However, apart from the mention of Smith's artworks in At the Mountains of Madness, I cannot think of any explicit mentions by the early Cthulhu Mythos writers of other Mythos creators and their real-world works.* On the other hand, I have certainly not read—much less remembered—all the works by the members of Lovecraft's circle. So are there any more in-universe mentions of one-another by the first generation of Cthulhu Mythos authors? (By the "first generation," I mean those who were involved with the early development of the Mythos through contact with Lovecraft himself—so the likes of Smith, Bloch, Robert E. Howard, August Derleth, Zealia Bishop, etc.)
*There is also arguably the case of "Under the Pyramids," which Lovecraft ghostwrote for Harry Houdini and which is narrated from Houdini's viewpoint. This could arguably count as a mention of Houdini, and Houdini might be considered one of Lovecraft's collaborators—although it is not clear whether Houdini actually made any contribution to the story.
