It turns out that this is a whole American/Allies description that comes from back in the Cold War Era. “First World” describes allied nations, “Second World” actually describes anything that was Communist, and “Third World” is basically everything else.
So, not only is this very one-sided (I had no idea), but the whole idea is totally a remnant of a bygone era.
The featured image is of a missile in Cuba during the Cuban Missile Crisis.