There are developed countries, with a robust capital market, manufacturing and commercial buildings, public education and excellent infrastructure. The next level is developing countries, with either a compromised capital market or lacking one or more of the other hallmarks. In third world countries, the lack of all factors of development is noticeable.
To make it easy, 1st world are NATO countries, 2nd World Communist countries (at least by the time of cold war when the term was created) and 3rd world the rest of the countries. Nowadays this term is mostly used for underdeveloped countries.
They are countries that are not developed like USA, UK, France, Russia, Spain, Mexico, Canada, Japan, China, and many others. They don't have that much technology for industrial systems and for other parts like the counties in Africa.