If $M$ and $N$ are both compact, then the submersion $F$ can be thought of as a fiber bundle map with fiber $F^{-1}(p)$ for any $pin N$. Then one can apply the long exact sequence of homotopy groups of a fiber bundle to learn that if, for example, $M$ is connected and $N$ is 1-connected, that the fibers must be connected.
These sufficient conditions may be too specific, though.
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