start with imagining yourself in a park and that in some way you can go out of your body and fly up. After a few meters, you will see yourself as a dot. Flying more up, you will see a park as a dot. Then a city you are in look like a dot, then a county, then you will see the Earth as a dot. After you rose far enough, the whole solar systems and galaxies will become a dot. — That is telling us that everything is a dot from the way up.
Now go back to your body and let’s dive into it deeper. You will find out that you are made of millions of dots, cells. Then go deeper onto the surface of the cell and look around. You will see that it is made out of millions of smaller dots, if you go into one of those dots, you will see atoms. — And yes, that exactly means that there are dots all way down
Sometimes, finally, it's entirely poetic. “Everything is connected” might just mean a sense of awe at the deep physics in mundane matter, or a feeling that everyone in the world should get along