Hi,
When you link tables from multiple 'databases', the joins are Not processed on the database.
CR reads everything from database A's tables and then reads from B's eventually Joining them locally. This, in all likelihood, will slow down things.
Here are some of the options to improve performance:
1) Setup a 'dblink' (Oracle) between the two sources and create a View with just the fields you need. Use the View as the datasource for the report
2) Consolidate the two datasources using tools like BO DataServices/Informatica/Pentaho so that everything is available in a single table
-Abhilash