I read that WandaVision is the first Marvel Show set in the Marvel Cinematic Universe 2 that starts now after Endgame.
It's the same universe as all the movies, it continues on from Infinity War and Endgame.
It's the start of Phase 4 basically. If you are invested in the MCU, you'll get your action towards the end of the season, for now, it's about the mystery of what is happening. I'd suggest sticking with episode 2 and episode 3 this week, apparently episode 3 starts delving deeper into the mystery.
Phase 1
Iron Man, Incredible Hulk, Iron Man 2, Thor, Captain America: The First Avenger, Avengers
Phase 2
Iron Man 3, Thor: The Dark World, Captain America: Civil War, Guardians of the Galaxy, Avengers: Age of Ultron, Ant-Man
Phase 3
Captain America: Civil War, Doctor Strange, Guardians of the Galaxy Vol 2, Spider-Man: Homecoming, Thor: Ragnarok, Black Panther, Avengers Infinity War, Ant-Man and the Wasp, Captain Marvel, Avengers: Endgame, Spider-Man: Far From Home
Phase 4
WandaVision, Black Widow, Falcon and the Winter Soldier, Loki, Shang-Chi and the Legend of the Ten Rings, Eternals, Spider-Man 3, Ms. Marvel, Hawkeye ETC ETC ETC