How do I know if my iPhone is connected to other devices?

If you have Continuity/Handoff turned on then you would connect with other devices that you have your Apple ID on and you could tell by say opening Safari on your iPhone then look at the dock of your computer, it will show Safari on your iPhone being opened on the far left of the dock.

If you are referring connecting for internet access check your WiFi or Bluetooth under settings.

Unless the iPhone has been out of your possession, only you would be able to connect it with other devices.

What exactly do you mean by "connected"?