I had this problem back in the 1980s (pre internet). My ancestor was born in what is now Fulton County, Pennsylvania. But at the time of birth the area was in Bedford County. To be sure you get all the records for your ancestor, you need to check both. This goes the same for church records. If the wife attended church A and the husband attended church B, The actual marriage should be registered where the marriage took place, but it may also be in the other one -sometimes with more information listed.
FYI, when you request a record from an agency (county or state) many times they will only look based on what information you provide. In other words, if I write to the state of Pennsylvania for a birth record in Fulton county-they will only look in Fulton county -not Bedford county. Some clerks will take the extra time to look, but don't expect them to.