According to Roosevelt, with what nations and events is the future of the United States intertwined?

Franklin Roosevelt gave his "Four Freedoms" speech in January of 1941. By that point, Germany had overrun almost all of the European continent, and Great Britain stood more or less alone (Germany had not yet invaded the USSR) against Adolf Hitler, having endured months of aerial bombardments during the previous fall. The Axis Powers had also conquered much of North Africa, moving closer and closer to securing the oil reserves of the Middle East. Imperial Japan had joined the Axis in 1940 in advance of its confrontation with the United States in the Pacific. In short, Roosevelt spoke at a very dark time in the world's history, and he sought to convey this sense to the American people, who remained uneasy about the prospect of American involvement in the conflict.  Rejecting isolationism outright, he told the assembled members of Congress that "the future and the safety of our country and of our democracy are overwhelmingly involved in events far beyond our borders". He called for solidarity and tangible aid to the democracies of the world, beseeching Congress to send the following message through its actions:

We Americans are vitally concerned in your defense of freedom. We are putting forth our energies, our resources, and our organizing powers to give you the strength to regain and maintain a free world. We shall send you in ever-increasing numbers, ships, planes, tanks, guns. That is our purpose and our pledge.

In context, Roosevelt was generally talking about Great Britain and its imperial possessions like Australia, New Zealand, and Canada that were actively fighting the German threat. He was urging Americans to abandon the isolationist mentality that had dominated the years since the First World War, emphasizing their common cause with the world's "democracies," which faced an existential threat unlike any the world had ever seen.

Here Roosevelt makes a case for US involvement in WWII, which was rapidly expanding throughout Europe and beyond. He makes the case that the US, in the a sense, is intertwined in a seemingly outside, foreign global conflict, as this conflict threatens other like-minded democracies. 
He does this by speaking in detail about the defining characteristics and strengths of democracy in the US, and how the strength of US democracy is related to other democracies abroad.
There are a number of ways Roosevelt approaches this argument. For example, he confronts existing beliefs about the US as its own isolated unit on a global scale, particularly debunking the idea that, regardless of the political deterioration in Europe, the US is safeguarded defensively by sea. Roosevelt’s debate on this point is an effort to reveal the holes in the US’s own security and to raise the stakes for its involvement safeguarding democracy abroad.
Another strong case made in this area is reminding his audience the importance of both the population and resources collectively possessed by the many territories in Europe, Asia, and Africa. He argues that it would be a crisis if these territories were to be toppled by a hostile, anti-democratic regime.
One more example of proving the US’s stake in an otherwise foreign war effort comes when Roosevelt explains the dangers of dictatorship to the American individual:

No realistic American can expect from a dictator’s peace international generosity, or return of true independence, or world disarmament, or freedom of expression, or freedom of religion—or even good business.