The First World War could not properly be called that until there was a Second, though a few, either from remarkable prescience or deep cynicism, so labelled it within a short time after its end. In the interim it was widely known, in English language countries, as the Great War, though sometimes the World War. It was the Great War when I was a child in the 1930s and had an uncle who had been there.
Which begs some questions.
I'm not sure why it is was called "Great" but one guess would be it was because of the humungous number killed, on both sides, soldiers and civilians, and another the scale of the struggle spatially.