They’re kind of out of date terms now, and use has shifted.
It used to be that first world were developed democracies alligned with US — US, Western Europe, Japan, Australia
Second World was the Communist factions — USSR and Eastern European countries under its influence, China primarily.
Third world were the developing countries that were not directly aligned but used as sort of proxy influence by the US and USSR. Most were formerly European colonies. It encompassed most of South America, Africa, Middle East, much of Asia.
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