I think there are several messages about this specific issue.
If you want to use the so-called "transparent mode" or "serial replacement mode" you have to set DH/DL of first module equal to SH/SL of second module, and vice versa. You also have to disable API mode (if you use Digimesh or 802.15.4) or load an AT firmware (for Zigbee).
If you are using Zigbee, you need to set one module as coordinator, and the other as router.
Last but not least: I am not sure XBee inputs are 5V compliant. Set both modules at 3.3VDC