Hey, I'm new to electronics but I would like to make a simple FM transmitter along with Bluetooth, however, first of all, I don't know if if I connect everything as shown in the picture it will all work and secondly, I have no idea what to do with AGND in that case. I would like to ask for help 
Please post links to all the modules.
A schematic wouold lbe much eaiser to follow as I do not have any of the parts in your picture. I would assume analog ground would connect to digital ground preferably at the power supply which is obviously missing from your picture.
For schematic KiCad is great and free as are many other CAD (Computer Aided Design) packages.
https://docs.arduino.cc/hardware/nano/
https://aliexpress.com/item/1005005622606596.html
The confusing part might be the Bluetooth board because I bought it on Aliexpress but that probably shouldn't be a problem
Why not? Their quality control is low to non-existent.
Follow the excellent Adafruit getting started tutorials, when using Adafruit products.
I worked with probably the same board and it did not cause any problems but that was maybe 6 years ago, however, if it causes problems then at most I will abandon the idea of connecting via Bluetooth.
I recommend to first verify that the FM transmitter works by following the Adafruit tutorial very closely. Then add bells and whistles.
Okay, so that's what I'll do. Thanks
Connect AGND to the FM transmitter GND