It goes back to the Cold War. Democratic countries were first world, countries on the other side of the Berlin Wall were second world, and the rest were third world.

Now that the Soviet Union is gone, we don't really have second world countries anymore, so people rarely use that term. Though I guess countries like Russia can be considered second world in that they do have a higher life quality than the Global South.

A 'first world' nation is a 'developed' nation.

A 'third world' nation is a 'developing' nation (a nation in progress).

A 'second world' nation is a nation that is aligned with communism.