Select Help > Sample Data Library and open Anscombe.jmp (F. J. Anscombe (1973), American Statistician, 27, 17-21).
From the red triangle menu for the The Quartet script in the table panel, select Run Script.
The script creates a simple linear regression on each pair of variables using Fit Y by X. The Show Points option is turned off, so that none of the data can be seen on the scatterplots. Four Models shows the model fit and other summary information for each regression.
Four Models
Notice that all four models and the RSquare values are nearly identical. The fitted model in each case is essentially Y = 3 + 0.5X, and the RSquare value in each case is essentially 0.66. If your data analysis took into account only the above summary information, you would likely conclude that the relationship between X and Y is the same in each case. However, at this point, you have not visualized your data. Your conclusion might be wrong.
Scatterplots with Points Added
The scatterplots show that the relationship between X and Y is not the same for the four pairs, although the lines describing the relationships are the same: