That is not how EC261 works.

For an EU airline, it works both ways. Fly AF CDG-JFK or JFK-CDG and you are covered.

But for a non-EU airline, it only works departing the EU. Fly AA CDG-JFK and you are covered, but JFK-CDG, you are not. Regardless of whether these are on the same ticket.

Then again, fly AA CDG-JFK-MIA and you are covered even if the delay/cancellation occurs on the JFK-MIA segment.

An interesting case is also an EU airline where the journey both starts and ends outside the EU. Fly AY DEL-HEL-JFK and you are not covered even if AY is an EU carrier and HEL is in the EU.

Furthermore, codeshares do complicate things and sometimes in the favour of the passenger. Fly SFO-DFW-HEL on AA and AY, but book under AY codes, and you are covered if the first segment (a domestic flight in the USA, operated by an American carrier) gets messed up!