The term "third world" was coined by a french demographer named Alfred Sauvy.
It's in reference to the french third estate, the majority of the population that was for the longest time oppressed and marginalized and ruled by the first estate that ended up destroying the first estate with a glorious revolution and a triumph for the rights of man and ended up becoming the leaders of a glorious new democratic nation.
What do my fellow post-colonial countries think of the term "third world", it sure isn't derogatory.