Okay, since it was brought up: all Fire Emblem settings in relation to each other.
Of the sixteen mainline entries, nine take place, 100%, in the same universe (plus one of the four spin off games). Three of these games are remakes, however, so keep that in mind. There is a very concrete
timeline for the three continents in this universe; Archanea, Valentia, and Jugdral. The only thing that isn't outright stated is the
location of Jugdral in comparison to the other two.
Genealogy of the Holy War and Thracia 776 (a midquel of Genealogy) take place in Jugdral, roughly 1000 years before the Archanea and Valentia games. Then after 1000 years, on Archanea, Shadow Dragon takes place. Pretty much immediately after Shadow Dragon is Shadows of Valentia, on the continent of Valentia across the sea. Then about a year after that is (New) Mystery of the Emblem back in Archanea. The spin off game for the Satellaview, Archanea Saga, takes place immediately before Shadow Dragon. Then 2000 years later, Awakening takes place on both Ylisse (present-day Archanea) and Valm (present-day Valentia). This covers FE 1, 2, 3, 4, 5, 6, 11, 12, 13, and 15, alongside Archanea Saga.
The Binding Blade and The Blazing Blade, the sixth and seventh games, happen in their own universe, on the continent of Elibe. FE7 is a prequel to FE6, taking place twenty years prior.
The Sacred Stones, the eighth title, is a standalone title taking place on the continent of Magvel. It's one of the few that are completely removed from the rest of the series.
Path of Radiance, FE9, is followed by Radiant Dawn, FE10, three or so years later. The continent of Tellius is in its own universe. Ike's descendant, Priam, ended up going to the Greater Archanea Universe through an Outrealm Gate. We'll come back to those later.
Fates, FE14, takes place on an unnamed continent in an unnamed new universe. However, like with Priam, three Awakening characters ended up in the Fates universe through Anankos and the Outrealms. We'll get back to this I swear.
FE16, Three Houses, takes place in a new universe on the continent of Fódlan. There are references and callbacks to previous games, but nothing tangibly connecting it to other games exists at the moment.
So with that covered, what are the Outrealms? Basically, Outrealm Gates are Gateways to the Fire Emblem multiverse, allowing access to these other worlds. They also allow access to past and future versions of the same worlds. They were first seen in Awakening, and then Fates. They're also confirmed to exist in Valentia due to the SoV drama CD.
Then we have Heroes, which expands upon the concept. It takes place in the World of Zenith and is heavily based on Norse mythology. Askr and Embla, the two Midgardian kingdoms named after the Old Norse equivalents of Adam and Eve, are responsible for opening and closing gates to other worlds, respectively. From there we also see their equivalents of the other Norse realms, Múspell (Múspellheim), Nifl (Niflheim), Hel (Helheim), Ljósálfheimr and Dökkálfheimr (Alfheim and Svartalfheim), Niðavellir, and Jötunheimr. Asgard has been hinted at but not shown yet, so it just has Vanaheim left to cover.
Warriors takes place in an unnamed continent with the kingdoms of Aytolis and Gristonne.
...And then Tokyo Mirage Sessions takes place in, well, Tokyo.