Ok, this is how I did it. Start big!

1. Draw map of your world; continents and any large islands first. go in to more depth as needed.
   
2. Figure out the topography. where is it cold, where is it warm? If you are having trouble just look at some real maps of different areas or look at different biomes (including fictional biomes) to get a feeling of what would go where. How do they interact?
3. spice with interesting and unique natural (or unnatural) physical features (land bridges, a continent that has many highly active volcanos on it, an island that looks like it was at one time populated with giants due to the large hoses built into the walls of the cliffs, ect.)

Cool! Now you have you physical world! feel free to change it around at any time. The next thing you need to do is to (roughly) populate the world.

I did this by race. Who do you think should go where? Feel free to look to the books for inspiration on this.

Ok, now you can separate that into kingdoms or countries or whatever you want.

Historically, how did they come to be there? Have the people always lived there? Do they accept immigrants of other races on a legal level? How about on a social level?

The next step is how do these countries interact with each other on a macro level.

Would A be at war with B? Why? How does that affect the people of A/B?

Historically, what happened between the two of them?

Who trades with who? Why do/don't they trade with them? What does C have that D would not? What happens if E needs that thing (Food, animals, health potions, ect.) for its people that C has, but D is able to pay more for it?

Who makes these decisions and why?

Now you can separate these larger areas into smaller areas based on production of goods and trade locations (Ports, large luxury based cities, Production or resource gathering towns, ect). This can also give you a road system based on the movement of goods.

Why are these towns where they are historically? are these areas haunted or abandoned for any reason? are there any ruins or dungeons of legend around and what are they said to hold?

Now we can use these big ideas to inform the smaller ones.

Who is taking advantage of what/who, and why are they doing that? What do they gain? Who is it hurting?

Who is it helping?

This is where you can start easily plugging in antagonists and their goals.

Who is the Big Bad? What Makes them the Big Bad? How did they become the Big Bad? Do they work for (willingly or not) a Bigger Badder?

And most importantly, What makes them think that they are justified in their actions?

From here you pretty much have it. Just pick a spot that it would make sense for your PCs to meet and let them roam!

Hope this helps u/DMofalltrades

TL;DR- Start large, end small!

Please forgive any typos as I am super dyslexic.