Even if the marvels and horrors are unified, coming from the same folklore or otherwise unified in tone, there's no guarantee they will unify in a plot. If there is some other kind of plot, a Bildungsroman or a romance, or some such, you can provide one, but somehow the story has to be fused together out of the miscellanea.
The Evil Overlord has his advantages. Once you tromp him, the story is over -- hurrah, cheers all around, and coronations and weddings to follow, as suitable. In a menagerie, if you can bring the perils all at once, you can sometimes defeat them and that's the end -- I remember one Conan story where Conan and the woman faced a crew of pirates, an ape-man who wanted to abduct the woman, and men cursed into statues by a god who (inexplicably) left a loophole that let them come back to life in time to be a menace to the characters. (Inexplicably within the universe, of course; rather obviously outside.) But that relies on the long arm of coincidence, and some perils can't coincide; they must be stacked, or not occur at all.
So, given the wonders, how can they be married together with whatever gives the story its forward motion so that it looks as if the wonders are an integral part of it? Even a quest, where the travel means you have justification for stumbling on odds and end, it has to fit together somehow and seem to resonate with the main story. When you put the heroine on the marches, and have her venture both back and forth but mostly stay put, it has to be even tighter, since nothing can be left behind.
Foreshadowing helps, no doubt.