I tried a Steam save I found online with the GOG version of Darksiders 1. You can get it to work if you open the save file in a hex editor and replace 5 specific bytes with all zeros (0x0000000000). The Steam version apparently injects a unique ID (possibly your Steam ID) into the save file, but the GOG version expects that value to be zeroed out. You can see more information about those 5 bytes here
on the Steam forums.
I don't know, however, if the Steam version's save files have the exact same structure as GOG's version's save files. You're welcome to try it, but don't be surprised if things get buggy.