Some games are in the same world, but there's the "Dragon Gates" which connect all of them through space and time with little control from it's users, aka how much money IS feels like making his DLC or spinoffs, while some beings (such as a certain ones in Awakening, Fates and the thingy in Heroes) seem capable of using this power at will.
FE1, Gaiden(2/15), Mystery(3), holy war(4), thracia(5), Awakening(13) and remakes happen in "Archanea" (Math & Chrom)(later known as where Awakening begins), "Valentia" (Gaiden) (later known as Valm) or "Jugdral" (Holy War and Thracia) (seemingly lost to time as per Awakening, from word of God we know it's far away from Archanea separated by the ocean) at different times and/or places.
FE6/7 happen in "Elibe", with 7 (aka just Fire emblem overseas) being a prequel to 6 and have no direct relation to any other outside of a small detail which was once just a theory but was later used as inspiration to introduce Dragon Gates which strengthened said theory.
FE8 aka the sacred stones is completely stand alone in "Magvel".
FE9/10 happen in "Tellius" separated from the rest and is probably the most unique setting, or at least the better stablished one a little blood detail aside.
And FE14, Fates, they happen in... Wherever the fuck, the continent doesn't even have a name alright, don't come here for world building. There's a theory of it being from before Awakening due to an off hand comment in a DLC, but it's most likely just the passing off of a tale about the land from a traveler of the Dragon Gate.
Awakening has no routes for that matter, all your choices are completely meaningless.