For Linux you have OpenSnitch https://github.com/evilsocket/opensnitch

This is priceless. Install it, start the service, put it to start at boot.

You can use this in two ways: let it ask for every connection or add some you trust and want to allow forever.

Anyway, one or two days later, you have almost you need allowed and you're already surprise how many programs connect to where.

You really have no idea what "phones" home until you use it.