The term "First World" refers to so called developed, capitalist, industrial countries, roughly, a bloc of countries aligned with the United States after world war II,
"Second World" refers to the former communist-socialist, industrial states, (formerly the Eastern bloc, the territory and sphere of influence of the Union of Soviet Socialists Republic)
"Third World" are all the other countries, today often used to roughly describe the developing countries of Africa, Asia and Latin America.
Some of the differences within the 'second world' seem to be pretty similar to the differences between the first and third worlds.
seems largely to be based on a combination of geographic/geopolitical positioning and not much more