I have a SQL database with multiple tables: A, B, C, D. Entities in those tables are quite different things, with different columns, and different kind of relations between
I presume that you are talking of a single comments table with a foreign key to "exactly one of" A, B, C or D.
The fact that SQL cannot handle this is one of its fundamental weaknesses. The question gets asked over and over and over again.
See, e.g.
What is the best way to enforce a 'subset' relationship with integrity constraints
Your constraint is a "foreign key" from your "single comments" table into a view, which is the union of the identifiers in A, B, C and D. SQL supports only foreign keys into base tables.
Observe that SQL as a language does have support for your situation, in the form of CREATE ASSERTION. I know of no SQL products that support that statement, however.
EDIT You should also keep in mind that with a 'single' comments table, you might need to enforce disjointness between the keys in A,B,C and D, for otherwise it might happen some time that a comment automatically gets "shared" between entity occurrences from different tables, which might not be desirable.