The important thing to remember about the FBI or other Federal agencies is that they can go anywhere in the United States. The local police department can only fight crimes within their local district. Sometimes, they can go slightly outside of their local district but for the main part, they stay within their local area. Federal agencies like the FBI usually deal with crimes that are considered white collar crimes.
That means that they have some kind of its financial or monetary of aspect to the crime. Sometimes the Federal agencies will assist in crimes that have crossed state lines. This means that they may be tracking down a fugitive who is going across the country.