Landgraf stated, in January 2016, that the series would be set in a universe parallel to the X-Men films where "the US government is in the early days of being aware that something called mutants exist but the public is not". He felt it was unlikely that characters would cross over between the show and films, but noted that this could change between then and the premiere of the series. That July, an article on Marvel.com referred to Legion as one of several characters joining the Marvel Cinematic Universe (MCU), suggesting that Legion would be set in that shared universe like Marvel Television's other series. The next month, Singer said that Legion had actually been designed to fit into the X-Men universe, but also to stand alone, so "you wouldn't have to label" the relationship between the series and the films. He teased plans to have the series "relate to future X-Men movies".
At New York Comic-Con 2016, Donner said that the series is "far from the X-Men movies, but still lives in that universe. The only way for X-Men to keep moving forward is to be original and to surprise. And this is a surprise. It is very, very different." Hawley explained that because the series is depicting the title character's "subjective reality", it would not have to address any connections to the films straight away, noting that Fargo, which is connected to the 1996 film of the same name, at first "had to stand on its own feet" before exploring those connections more; "We have to earn the right to be part of this universe. My hope is we create something so strong that the people in the movie studio call and say they would be foolish enough not to connect these things." He did state that "you can't tell this story without" acknowledging that Legion is the son of Charles Xavier, who appears in the films. In regards to the MCU, Loeb stated that his involvement in the series was a sign that "bridges are being made" between Marvel and Fox, "but I don't want to make any promises ... Marvel heroes at their core are people who are damaged and are trying to figure out who they are in life. It doesn't matter whether or not they're X-Men, Tony Stark, Matt Murdock or Peter Parker ... If you start at a place as strong as David's character is and you have a storyteller like Noah, then it's Marvel. In that way, it is all connected."
Loeb and Donner stated in January 2017 that there were no plans to have Legion be the first in a series of connected shows on FX, like Marvel Television's group of interconnected Defenders series on Netflix, and that Legion and the X-Men series being developed for Fox are "not going to get in each other's way." Donner stated that the series was just a chance to bring an X-Men character to the screen who was not going to be used by the films. The producers hoped that audiences would watch the show because of its character-focus and the talents of Hawley and the cast, rather than to "see a Marvel franchise show." Donner also noted that having Hawley focus on Haller's perspective of reality rather than connections to the X-Men films allowed the series to avoid the convoluted continuity of the films, "because we play with so many different timelines, and we rebooted and not really rebooted and all that" throughout the films. Therefore, "the cinematic universe will not worry about Legion. They will not worry about these TV worlds at all. They will just continue in the way that they have been continuing." For the onscreen confirmation that Xavier is Haller's father in "Chapter 7", with Xavier's signature wheelchair shown in a brief flashback, the series' production was able to choose from any of the variant wheelchairs used throughout the film series. They settled on the version from X-Men: Apocalypse, with the prop used in that film being brought out of storage for the show.