I was going to give my opinion but thought maybe I should see what the Wikipedia says: I'm glad I did because I would have left out NZ and Australia :

https://en.m.wikipedia.org/wiki/Western_world

 The Western world, also known as the West, primarily refers to various nations and states in the regions of Australasia,[a] Western Europe,[b] and Northern America; with some debate as to whether those in Eastern Europe and Latin America[c] also constitute the West.[5][6][7] The Western world likewise is called the Occident (from Latin occidens 'setting down, sunset, west') in contrast to the Eastern world known as the Orient (from Latin oriens 'origin, sunrise, east'). The West is considered an evolving concept; made up of cultural, political, and economic synergy among diverse groups of people, and not a rigid region with fixed borders and members.[8] Definitions of "Western world" vary according to context and perspectives.[9]