It doesn't seem like a likely pairing, but a cameo in X-Files season 5 canonically places the show within the Law & Order universe. To be fair, The X-Files and Law & Order do have some things in common. At their core, both are crime procedural dramas, albeit with monsters and aliens involved on The X-Files, and elements of legal drama thrown in on Law & Order. They're also both long-running programs, although The X-Files' 11-season run certainly is dwarfed by the over 20 seasons of Law & Order and its first spinoff SVU.
Beyond that though, there likely isn't that much crossover between diehard fans of The X-Files' mix of investigative sci-fi horror and diehard fans of Law & Order's gritty look at the criminal justice system. The X-Files definitely isn't a stranger to weird crossovers though, as Mulder and Scully once got animated for a trip to Springfield on The Simpsons, and even starred in an in-universe episode of fellow long-running FOX series Cops.
The fateful episode that forever bound The X-Files and the Law & Order-verse together came in season 5's "Unusual Suspects," which primarily served as a flashback story detailing how Mulder first became acquainted with The Lone Gunmen trio. The Gunmen are arrested and shortly after, are interrogated by a very familiar cop—Detective John Munch (Richard Belzer), a character best known for Law & Order: SVU. Munch was a regular on SVU for its first 15 seasons.
Perhaps the oddest thing about The X-Files existing within the Law & Order universe is that when "Unusual Suspects" aired in 1997, including Belzer's Munch wasn't actually meant to be a Law & Order crossover. At that time, Munch was still a part of the cop show he debuted on, that being NBC's Homicide: Life on the Street. After Homicide, which was a critical darling, ended, Munch jumped over to SVU, and the rest is history. Little did anyone involved with "Unusual Suspects" know that they were also forever tying The X-Files to the massive Law & Order franchise.
Making things even more complex is that tying The X-Files to Homicide and John Munch also ropes it into the grand Tommy Westphall universe that has become canon to many TV devotees. For those unaware, the finale of the medical drama St. Elsewhere revealed that the entire show had taken place inside the mind of an autistic boy named Tommy Westphall, and since characters from Homicide and St. Elsewhere crossed over, that means The X-Files' Mulder and Scully also exist inside the mind of the character. After all he's seen though, that revelation probably wouldn't really surprise Mulder.