Achieving accurate and reliable gaze predictions in complex and diverse environments remains challenging. Fortunately, it is straightforward to access diverse gaze datasets in real-world applications. We discover that training these datasets jointly can significantly improve the generalization of gaze estimation, which is overlooked in previous works. However, due to the inherent distribution shift across different datasets, simply mixing multiple dataset decreases the performance in the original domain despite gaining better generalization abilities. To address the problem of ``cross-dataset gaze estimation'', we propose a novel Evidential Inter-intra Fusion EIF framework, for training a cross-dataset model that performs well across all source and unseen domains. Specifically, we build independent single-dataset branches for various datasets where the data space is partitioned into overlapping subspaces within each dataset for local regression, and further create a cross-dataset branch to integrate the generalizable features from single-dataset branches. Furthermore, evidential regressors based on the Normal and Inverse-Gamma (NIG) distribution are designed to additionally provide uncertainty estimation apart from predicting gaze. Building upon this foundation, our proposed framework achieves both intra-evidential fusion among multiple local regressors within each dataset and inter-evidential fusion among multiple branches by Mixture \textbfof Normal Inverse-Gamma (MoNIG distribution. Experiments demonstrate that our method consistently achieves notable improvements in both source domains and unseen domains.