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world war (n.)

attested by 1898 as a speculation.

If through fear of entangling alliances the United States should return the Philippines to Spain, Mr. Page asserted that the predatory nations would swoop down upon them and a world war would result. [New York Times, Dec. 16, 1898]

Applied to the first one almost as soon as it began in 1914 ("England has Thrown Lot with France in World War" — headline, Pittsburgh Press, Aug. 2, 1914). World War I was coined 1939, replacing Great War as the most common name for it; First World War, World War II, and Second World War all also are from 1939. Old English had woruldgewinn, woruldgefeoht, both of which might be translated "world war," but with "world" in the sense of "earthly, secular."

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Definitions of world war from WordNet

world war (n.)
a war in which the major nations of the world are involved;
From wordnet.princeton.edu