They should relate in some way. Is what you described the paint treatment on the bathroom walls? Did the previous owners do that? Are you redecorating?

If you are, I would recommend choosing a scheme for the bedroom first and then flowing some of the colour into the master bathroom. The first thing to choose is bedding you love and from that, upholstery fabric for your chairs, then window treatments, then paint colours for your bedroom and bathroom.

I agree with Cynthia in that they should relate or compliment each other in some way. It does make sense to define the bedroom area first since it is the larger space. Good luck!