Megami Tensei Multiverse

The Megami Tensei Multiverse collectively refers to the multiple worlds and universes included in the Megami Tensei series. Nearly all Megami Tensei games heavily feature connections to other worlds and universes which suggests that the games may not occur in the same "universe" but that they still take place in the same over-arching multiverse. In fact, many games feature multiple universes and alternate realities within themselves, suggesting a greater unity among Megami Tensei games then those of other RPG franchises.

Digital Devil Story: Warrior of the Demon City
Akemi Nakajima theorized that each great, powerful demon was surrounded by their own "universe" and that only the one could be contacted at once. Thus, upon Loki's death, his universe collapsed and Set's universe took its place, which is why Ohara accidentally contacts Set with the Demon Summoning Program.

Shin Megami Tensei III: Nocturne
Lucifer explains to the Demi-fiend that our "world" is just one of many in the great scheme of things, and that the Conception was really the insignificant destruction of our universe, which didn't affect the multitude of other universes. By siding with a Reason, the Demi-fiend is able to choose the rules of the new universe born in it's place. By siding with Lucifer, every universe is snuffed out in order to start the final battle against God.

Digital Devil Story: Megami Tensei

 * Assiah
 * Atziluth

Shin Megami Tensei II

 * Makai

Devil Children: Red/Black/White Book

 * Makai
 * Grass Field
 * Crystal Ring

Shin Megami Tensei: DemiKids

 * Rem and Future Rem
 * Dem
 * Valhalla

Devil Children: Fire/IceBook

 * Niflheim
 * Muspelheim
 * Tenkai

Devil Summoner: Raidou Kuzunoha series

 * Dark Realm
 * World of Raido Kuzunoha the XIV
 * Akarana Corridor

Shin Megami Tensei III: Nocturne

 * Vortex World
 * The various Worlds born of each Reason:
 * Shijima
 * Musubi
 * Yosuga
 * Labyrinth of Amala
 * Shadow Vortex

Shin Megami Tensei: Strange Journey

 * Schwartzwelt