Multiple databases or one large database?

My company has a framework where different areas of a region are created as separated databases - we call them datamarts. All of the databases are exactly the same and in some regions we have 20 -30 databases where some or all are included in a particular query. Is there a performance penalty when we perform queries that join these databases or does SQL Server join these cross database queries seamlessly. Some of the databases may have a few million transactions.