Doubt about games conecction.

As far as I can think they're all in the same "world" as in on planet earth!! They're also all in the same timeline, other than some games like "If...", which the title itself implies it's an alternative reality... either just for shits and giggles or because some nefarious demiurge made it so.

Now this is for the "Shin Megami Tensei" titles produced by Atlus. I'm a big fan of the original non-Shin games prior to Atlus' takeover/bastardization (however you like to think of it) ...anyway the Shin games in essence are their own alternative universe. Anything non-Shin is in the original universe presumably.

Now the title itself has a word similar to "reincarnation" in the title, and the premise of the games is reality goes thru rebirths so to speak or whatever. So some far flung setting like with the Avatar Tuner (DDSaga) games might happen in a post reincarnation universe or who knows, but it's still part of reality... and in fact the SMT universe physics probably do not allow for coexisting alternative realities, so all games are also part of the same "timeline".

Now about "universes" ...many of the casts of characters and settings in games don't overlap at all. I would call the games that do overlap series. So Persona1/2 (as much as I would like to forget about 2 myself) are a series, but 3 and 4 are not part of that series. 3 and 4 might be a series, but I don't know enough about them. Nocturne is in a series with SMT1 and SMT2, but since it has a subtitle it might actually be a gaiden of some true SMT3 someday. Just some examples. If you really want to know the details you gotta at least read about the different games (if not play them) somewhere/how rainbow

Edited: Welcome!

PS: I think Atlus has dropped the Shin Megami Tensei from most of their sequel titles, but if you go back to the original there is usually either SMT or Megami Ibunroku in the title.