Preheat oven to 250°F. Line two rimmed baking sheets with parchment.
Combine rice cereal, corn cereal, pretzels, and peanuts in a large roasting pan.
Melt butter in a saucepan over medium heat.
Stir in brown sugar and corn syrup. Bring to a gentle boil, stirring until dissolved.
Simmer 4 minutes without stirring, then remove from heat. Whisk in vanilla, baking soda, and salt; it will foam.
Pour caramel over cereal mixture. Toss with a spatula until everything is lightly coated.
Bake 45 minutes, stirring every 15 minutes to prevent clumps and ensure even coating.
Cool completely on the sheets. Fold in candy-coated chocolates and break into bite-size clusters.
Store in an airtight container at room temperature.