I'm aware that in many cases the answer is simply, "they don't," as many people don't seem to have the historical or theoretical curiosity to investigate it. However, I genuinely want to encourage more cerebral discussion around here, so I'll give a brief rundown.
The Second International was a big federation of socialists/social democrats with lots of different perspectives, the largest being Germany's SDP (which still exists today). The aim was to foster international cooperation and solidarity, and to promote the interests of the common people, including preventing the outbreak of a major European war. The Basel Manifesto, passed by a unanimous vote at the International Socialist Congress in 1912, stated:
If a war threatens to break out, it is the duty of the working classes and their parliamentary representatives in the countries involved supported by the coordinating activity of the International Socialist Bureau to exert every effort in order to prevent the outbreak of war by the means they consider most effective, which naturally vary according to the sharpening of the class struggle and the sharpening of the general political situation.
In case war should break out anyway it is their duty to intervene in favor of its speedy termination and with all their powers to utilize the economic and political crisis created by the war to arouse the people and thereby to hasten the downfall of capitalist class rule.
The Second International fell apart when the SDP voted in favor of issuing war credits, indicating support for German entry into WWI, with other social democratic parties following suit. This made any hope of international cooperation impossible. Although everyone said that they opposed the war in principle, they all found reasons to rally around their respective flags and point fingers at each other for who's side was more responsible.
Lenin was an exception to this trend and not only strongly opposed Russian participation in the war, but even went so far as to explictly call for Russia's defeat. The Leninist perspective is that the social democratic parties betrayed the international socialist movement and failed to oppose the war because had become filled with opportunists, people who were willing to go against the interests of the people out of fear of political persecution (or, in the interest of advancing their own careers) and that, from this, we can see that attempts to work within the system to achieve reform are vulnerable such mechanisms of subversion.
The breakdown of the Second International was not just a disagreement between social democrats and Leninists, but also between social democrats of different countries. When their respective countries turned against each other, and the range of acceptable opinions narrowed to the point that opposing the war would be seen as treasonous, they all found reasons to start fighting each other, in a largely pointless war on an unprecedented scale.
Is it really possible to build any sort of international coalition if a party limits itself to the range of opinions that are permissible within a capitalist system? And are modern social democrats even interested in that sort of internationalism anymore?
"Their own interests" whose interests, exactly? Who benefitted, and who paid the costs, for the wars in the Middle East? The only people who benefitted seem to be oil companies and war profiteers, while ordinary people (including my own family) paid for it in both money and blood.
The interests of your own country's bourgeoisie might align sometimes with those of the American bourgeoisie, but neither align with your people or the American people.