Which (like RetroArch, Delta, or a handheld) are you using?
If you are looking to play, ensure your source is reliable, as some digital collections (like the PC "Sonic & Knuckles Collection") had altered music, unlike the combined Genesis ROM. sonicknuckleswsonic3 bin file better
Your data, lives, continues, and score carry over smoothly from Launch Base Zone directly into Mushroom Hill Zone. Which (like RetroArch, Delta, or a handheld) are you using