The preconnect keyword for the rel attribute of the <link> element is a hint to browsers that the user is likely to need resources from the target resource's origin, and therefore the browser can likely improve the user experience by preemptively initiating a connection to that origin. Preconnecting speeds up future loads from a given origin by preemptively performing part or all of the handshake (DNS+TCP for HTTP, and DNS+TCP+TLS for HTTPS origins).
<link rel="preconnect"> will provide a benefit to any future cross-origin HTTP request, navigation or subresource. It has no benefit on same-origin requests because the connection is already open.
If a page needs to make connections to many third-party domains, preconnecting them all can be counterproductive. The <link rel="preconnect"> hint is best used for only the most critical connections. For the others, just use <link rel="dns-prefetch"> to save time on the first step — the DNS lookup.