Cross-play has been added to Spelunky 2 via a free update.
As of now, people on PlayStation, Xbox, Switch and Steam can play together in Adventure and Arena modes. Before the update, it was only possible to play with players on the same platform. The developer also indicates that the multiplayer and online options will continue to be a priority in future updates.
In the Spelunky games, players explore randomly generated caves. The sequel, released in 2020, revolves around Ana Spelunky, the daughter of the main character from the first game. Unique to this sequel is the multiplayer mode mentioned above.
The full patch notes can be found here.