Leaving aside religious views, humans of Earth think the entirety of the cosmos is just their world (and associated universe).
Earth’s mages, and general magical community, know this to be false. Or, rather, that this is a limited perspective based on lack of data.
Most of the magical community believes there are two layers to cosmology. On the most basic level, there is Earth. Beyond that, there are the Shadow Realm and the Spirit Realm. These are the homes of the shadow beings and spirits as well as the sources of the energy that fuel shadow magic and spirit magic respectively. This does not account for the Shadow Paths or Mirror Roads, however. A minority of mages on Earth claim that there are, in fact, three layers to the cosmos. The first is, of course, Earth. The third is made up of the Shadow and Spirit Realms. The second, they say, is a region called The Between which serves as a buffer between Earth and the non-human realms. This interstitial region is, they claim, host to the Shadow Paths and Mirror Roads, among a variety of other regions.
Inhabitants of The Between say this view of cosmology is simplistic. They say there are five, arguably six, layers to reality. The first is Earth, although it is widely considered the least important. The second is The Pale, which consists of the Shadow Paths and Mirror Roads and exists sandwiched by Earth and The Between. Then comes The Between itself, including the Goblin Market, Irem, Sunken Atlantis, and Werwood. Fourth is the Near Beyond, a region of lands more divorced from Earth than The Between, but still habitable by mortals. Some argue there is a fifth interstitial realm that is home to the Dreamscape, Godhome, and the Spirit Realm. Finally, there is the sixth (or fifth) realm known as the Far Beyond, which is home to inhuman entities from elemental beings to shadow creatures to entities born of chaos. This last region is inimical to human, and related, life and mortal minds tend to crack or shatter when directly exposed to its realms.