To amplify what Ncena1 said:
In a mission, you only have access to those environments that the creator included in the mission.
Normally you go to another environment as a result of passing over a hidden trigger that loads the next environment.
If you go outside the limits of the current environment, you may get the selection globe that allows you to choose another environment if one has been included in the mission.
In Free-roam, you usually have access to all environments that are adjacent to the current environment.