There was a time when the only people who could be considered human lived in Africa. Since there were no other humans in existence any where else that means they were living in the first world, because there was no other world. This world was it and this world was theirs.
Since then, people who do not see themselves connected to the first world have decided to claim they live in the “first world.” They do this while referring to the places where the original human inhabitants of this planet lived as the “third world.” The schizophrenic nature of such a role reversal is indicated by the fact that the same people who proclaimed that the first world is now the third world still refer to the original inhabitants of the first world as “primitive.”
If the people who originally inhabited this planet were “primitive” then they were living in the first world. There was no world before theirs. There was no history before theirs. The first world is the world where the first people lived. That place is in Africa.