Where does the FBI work?
Anywhere in the world. If there's certain crimes (e.g.,
terrorist attacks) overseas against Americans or U.S. interests
(embassies, bases, etc.) the FBI gets involved in the
investigation. Examples are the Khobar Towers bombing in Saudi
Arabia, the Pan Am 103 bombing/crash in Lockerbie, Scotland, and
most recently the U.S. Embassy in Benghazi.