The Challenge from Beyond by HP Lovecraft | Cthulhu Mythos 

"The Challenge from Beyond" is a 1935 horror short story written by Howard Phillips Lovecraft, Frank Belknap Long, Robert E. Howard, C. L. Moore, and Abraham Merritt. It was published in Fantasy Magazine and is part of the Cthulhu Mythos.
This is actually the second of two round-robin stories named "The Challenge from Beyond", both commissioned by editor Julius Schwartz and published in the same issue of Fantasy Magazine, in September 1935. The first "Challenge" was written by Stanley G. Weinbaum, Donald Wandrei, E. E. Smith, Harl Vincent and Murray Leinster, and focuses more on science fiction, whereas the "Challenge" written by Moore, Merritt, Lovecraft, Howard and Long is more fantasy-oriented (although both contain elements from both genres).