Since most of us only have limited resources to contribute to tzedakah, the question is one of priorities. Where should our money go and in which order? Halacha prescribes priorities ("kdimot") in giving tzedakah which helps answer your question.
In one survey of such priorities, dinonline offers many sources for the following
- Saving a life takes precedence over all other needs and requirements
- Supporting the study of Torah and Jewish education for children and students
- Supporting poor people, first family members, then friends, neighbours, poor people in one's city, then different cities (but note some say the poor of Israel take precedence, and Jerusalem's even more)
R Shimon Taub in The laws of tzedakah and maaser, pp. 60ff writes it up slightly differently: pikuach nefesh, study of Torah, medical needs of the poor, building or maintenance of a synagogue, all other needs of the poor, firt of all the marriage of orphan girls. See also The tzedakah treasury pp. 373ff and Priorities in Tzedaka pp. 59ff. On how to allocate quantitatively across these priorities see a related question: How can tzedakah to the needy of Israel be justified?
This being said I note that R Moshe Feinstein (Igrot Moshe YD vol. 1, 144) rules that an individual has the right to divide his money as he wishes and that the rules of priority from the Shulchan Aruch apply only to a gabbai tzedakah (an administrator of public tzedakah funds), based on the idea that our maaser money doesn't belong to us but we retain the privilege to distribute it how we want.
As a personal thought, I would add that, while there are many worthy non-Jewish causes, lots of non-Jews donate to them, while Jewish charities are nearly only supported by Jews, I have now seen this written up by R Pesach Feinhandler in Avnei Yashpei (see here) building on the famous Rambam in Matnot Aniyim 7:7: "we provide sustenance and clothing for the poor of the gentiles together with the poor of the Jewish people", see also SA YD 151:12.
At the same time, many agree that there are no exact proportions in tzedaka and you can/should follow your heart beyond the general guidelines above.