The figure below gives an overview of the frequency limits of the connectors listed above. Above this frequency, unwanted modes start propagating. So don’t use connectors and cables above their specified cutoff frequencies.
For N and SMA connectors, there are higher precision (and more expensive) versions available which have a higher frequency limit. These SMA connectors are not to be confused with the 3.5mm connectors.
The table below shows which connectors can mate with eachother. But as a note: just because connectors can be connected, doesn’t mean they will work properly with respect to power handling and frequency. The maximum frequency is always set by the lowest frequency connector in the chain.
SMA connectors will mate with 3.5mm and 2.92mm connectors. However, a cheap SMA connector will damage the high precision expensive connectors.
The images below show how you can recognise the different connectors. SMA is the easiest, as it is the only one with a PTFE dielectric, all the other high frequency connectors have air dielectric. The name of the connectors is determined by the diameter of the dielectric. By eye it can be quite hard to differentiate between the 3.5mm and the 2.92mm, especially since they are physically compatible.
These images were taken from Keysights What mates with what page.