This is the exact same color scheme I tried and failed to bring together when I first did our bedroom - dark and light blue plus dark and light brown.
I think I'd pick up that light tan color in the sheets and pillows, keeping it simple and tailored. Honestly it was the dueling blues that killed me! I got rid of both of them and changed the two blue walls to a wisteria-ish purple...
I think that doing tan walls and then chocolate brown sheets/shams on the bet would tie them together. I think you need a pillow with these colors to tie it together in the end. Here is what I found:
(I love that the blue one has red/coral in it too)
Another option is to get some pillows in tan, choc brown, and light blue (like curtains) and place on the bed.
I also think bringing in a picture with these colors in it will help tie it all together.
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"Despite all your best intentions, sometimes, fate wins anyway."
I would do like HeatherLynn suggested: tan walls and brown sheets. The white striped sheets in the picture of the bedding is totally throwing me off because it has a nautical vibe to it, which the curtains don't have. Having some fun throw pillows like the ones HL posted will help tie it together too.