The closest modern equivalent is a weekly comic book (or manga) that gets turned into a graphic novel after its run.
Other examples of serialized novels include The Count of Monte Cristo, Madame Bovary, Uncle Tom's Cabin, Tolstoy's Anna Karenina, Dostoevsky's The Brothers Karamazov, Joyce's Ulysses, Hemingway's A Farewell to Arms, and Fitzgerald's Tender is the Night. A Farewell to Arms, for example, was completed entirely before it was serialized in Scribner's. In the heyday of the Atlantic and Scribner's magazines, many of the best American writers would first publish their novels in installments prior to releasing as a single volume. It was considered a mark of success to publish in installments in one of the vaunted literary magazines.
We’ve lost most of it, but there were tons of works connected to the Iliad. It’s just the last year of a ten year war. The instigation of the war, events in gathering the allies on both sides, the voyage of the Greeks to Ilium, and other battles and skirmishes are alluded to, but not directly covered in Homer’s story. Then there’s the return of the heroes other than Odysseus! We have some of this in surviving tragedies, but know only titles and maybe topics for a whole bunch more.
Then you’ve got all the national myths that connect to it. The Aeneid, the Round Table and broader “Matter of Britain”, et c.
This is of course true of mythology more generally, not just the Trojan War literary cycle. Mythology was the "fictional universe(s)" of its day, that most cultured people would've been familiar with.