Both Jay Gatsby from The Great Gatsby and Okonkwo from Things Fall Apart stubbornly pursue courses of action that lead to their deaths. Jay Gatsby sees only Daisy's green light and commits adultery in order to obtain her. Quite simply, he is living in denial of the fact that she is a married mother who will never leave her husband. Gatsby's single-minded focus blinds him and eventually leads to his death. Okonwko too lives stubbornly, beating his wives during Peace Week, killing Ikemefuna and the messenger, and shooting a clansman, although accidentally. Not so much a romantic dreamer like Gatsby, Okonkwo is blind to his own pride and cruelty, one who spitefully practices male aggression instead of patience and wisdom.
Both Gatsby and Okonkwo live in exile, but Gatsby's exile is by choice and Okonkwo's is by decree. Gatsby chooses to forsake his family in favor of a playboy lifestyle. Okonkwo, on the other hand, is forced into exile after his accidental shooting. Whereas Gatsby reinvents himself during the exile, Okonwko remains the same stubborn alpha-male while living with his wives's clan.
Both Gatsby and Okonkwo shamefully deny their fathers. Gatsby changes his name and moves away from his family after the war, a socio-economic separation. Okonkwo lives with shame that his father is an agbala, a womanly male who refuses to work or repay his debts.
Okonkwo is a warrior for and leader of his people, whereas Gatsby is a solitary figure, full of mystery. Obviously, the African tribal culture is much different than the Western individualism, but, in general, Okonkwo takes on more responsibility and ownership of his culture (maybe too much); Gatsby, by contrast, actually subverts his culture's values by indulging in crime. In other words, Okonwko works his way to the top of his culture honestly, and his has more vested in it (several wives, children, and obis), while Gatsby becomes successful through black market crime (bootlegging and gambling), using his gangster connections to subvert the law.