Use stored procedures.Inside one stored procedure you can insert data in multiple databases and incase any of the query fails - rollback everything. For ex:
Create Procedure Test
As
Begin
BEGIN TRY
Begin Tran
Insert into table1db1 ...
Insert into NameOfDatabase1.dbo.table2db2 ...
COMMIT TRAN
END TRY
BEGIN CATCH
ROLLBACK TRAN
END CATCH
END