Depends on the game/generation.
For example, trading a Pokémon with a Mega Stone from between all four Alola games is perfectly legal, as long as when you trade from USUM to SM, the Pokémon is legal in SM. No new Mega Stones were introduced, so you don't have to worry about that like ORAS and XY's Mega Stones.
Introduced in Pokémon Ultra Sun and Ultra Moon, cannot be traded to Pokémon Sun and Moon:
New species introduced in the games:
- Poipole, Naganadel, Stakataka, Blacephalon, and Zeraora.
- Partner Cap Pikachu, Rockruff with Own Tempo (which the game considers to be a new form) and Dusk Form Lycanroc.
- Pokémon with Mind Blown, Plasma Fists, and Photon Geyser can only be traded to Sun and Moon if those moves are forgotten.
Now, if you were to try to trade Mega Stones from XY or ORAS to SM, the Mega Stones would be put in your Bag when you deposit the XY/ORAS Mega Pokémon in Bank, since Bank does not transfer items.
Items cannot be stored in Pokémon Bank. If the player deposits a Pokémon that is holding an item, the item will be removed and sent to the player's Bag.
So, the only way to trade Mega Stones to SM is to have a Pokémon holding the Mega Stone traded from USUM or SM who is legal in SM. Then, that Pokémon that can use the Mega Stone is able to Mega Evolve once you obtain the Key Stone.
Hope I helped!
Bulbapedia's Trading Page
