I'm not sure if you refer to surface water or groundwater, so I'll divide my answer to two: Transfer of surface water will most probably increase evaporation (the surface area of the water grows) and this will lead to water-losses. In the case of groundwater (and surface water as well) infer to natural ecosystems (or hydrologic systems) is always very delicate. Care should be taken that the lowering water table (at the watershed from which water is taken) does not cause saltwater intrusion or other contamination. Additionally different watershed have different salts componants (and fauna) and the mixing can produce unwelcome processes, like gypsum precipitation, algea bloom etc.

I think that the key problem on water transfer between watershed is water right. Objective of water transfer is to reduce water conflict between regions and to balance the water allocation between water use sectors in order to sustainable development in entire region.