I think first we should explain how things are set up in most places.
First, you’ve got your internet connection. This is how your house/office connects to the internet. In all likelihood, it’s a wired connection, and is either cable, VDSL, or fiber optic. This connection has what’s called ‘bandwidth’, which is a way of saying how much data that can be transferred in any given second. You usually pay for specific bandwidth amounts.
Second, you’ve got your local area network. This is the network that your devices connect to- in your case, it’s wi-fi. This sort of network also has its own bandwidth, and is usually, but not always higher than your internet connection bandwidth.
Third, your local area network connects to your internet connection via your router. If devices on your LAN are talking to each other, that doesn’t go to the internet. If you’ve got multiple users, you’re essentially sharing the bandwith of the internet connection, so it’s possible that if you’ve got a really slow connection or a whole lot of users/devices using a lot of data at once, you may notice slowdowns. We rarely do however- even with a smart TV streaming 4k, two phones, and a PC going at once. Sometimes we do, but it’s rare.
So using my setup as an example, I’ve got a 100 megabit VDSL connection to AT&T as my internet connection. This means that I can receive 100 million bits per second from AT&T. I can also send 20 million per second. My local network is considerably faster than that- I often get 500 megabits from my wi-fi connection on my phone. (it’s 5 ghz 802.11ac TP-Link OneMesh, if anyone cares).
You’re limited in most cases to your internet bandwidth to do anything outside your own local area network. So if I’m streaming video from YouTube to my phone, I can only stream at a maximum of 100 megs. But if I’m streaming from my phone to my TV, I can stream at whatever the fastest common speed of the TV and phone on the local area network is- if they’re both connected at 250 megs or higher, I can stream at 250 megs between them because it’s not going outside of the LAN.
LANs have different transmission methods, so you don’t really share the data in the same sense.