It's a leftover term from The Cold War. There aren't strictly any second world countries left anymore. They are either first or third world countries nowadays.
This is a map of the three worlds during the Cold War. Blue is the first world, red is the second world, and green is the third world. As has been noted by commenters, several countries in green did have alliances with either side for short periods of time, or were de facto allies.
Image: https://www.quora.com
