Typically, the way things go is this:
In UE4, you block out your level using the modeling tools in available there. Very simple, just block shapes to get things laid out. For an FPS it’s easy to start testing those levels, there’s a FPS template to start with so you can immediately begin designing levels and testing how they play, even if you plan on changing how the FPS gameplay works, you can still test it with the template.
After that, you start modeling detailed assets for the level in Blender. Things like doors, walls, pillars, and other props. What you build would be based off how you designed your level and what style you want it to look like. There’s many different ways for texturing those models, you said you have Substance which is really great and it’s a good skill to learn. If you want to use Substance, you would export a mesh to Substance and then use that to texture it and then export the mesh and the textures to UE4. Within UE4 you would have the meshes and textures in a folder and you would have to set up your materials there as well. And then, you would place them on the level you created and replace the blocks with the new detailed meshes.
Just to give a quick description on what each software is:
Blender–3D modeling and animation, you make your detailed meshes here and your characters/props
Substance–for texturing only, it has some really cool tools for texturing meshes to make them look weathered and realistic
UE4–you bring everything in here, it isn’t capable of modeling like Blender is, it has a very limited ability to make geometry so that’s why you make your geometry in Blender and export it to UE4.
In UE4 you actually set the game up, you lay out the level, set up the gameplay and build your game program file.