My cat loves wet dog food, it seems more than his cat wet food. Is it harmful for him or will he miss out on nutrients if I was to continue buying it for him?

What I heard is that cat food is balanced for cats and dog food is balanced for dogs and the one eating the others food is more or less like a person eating junk food basically.

If I recall correctly, dog food has less/no taurine in it. Taurine is absolutely essential in cat food, since cats can't make that on their own and need to get it from their food. A lack of taurine can cause blindness and, also if I recall correctly, cardiac problems.

Just keep this in mind: Dogs are not small furry humans, and cats are not small dogs. What is good for one species may be less good, or even harmful, for another.

My dog use to eat the cat food a lot and the cat would eat the dog food. What I did was put the cat bowl up where the dog couldn't jump and put the dog food in a big walk in closet that I only opened to let the dog in when she was hungry.