One common phenomenon for pejorative terms is what Steven Pinker called the euphemism treadmill. It's normal enough for terms which were once chosen to be neutral/non-pejorative to become pejorative with time. With fraught subjects, like the differences between places and cultures, this can happen a lot.
Developing and least developed to describe countries which have fewer/weaker human development indicators (the latter term more severe) remain in heavy use. Some people don't like them. I would not hesitate to use developing countries, but I would avoid anything like underdeveloped (which could make the countries sound deficient and implies a value judgement) or undeveloped (which makes the distinction binary).
A recently-growing term which is vague but avoids an appearance of hierarchy, monotonically, and value judgement is the global south. Sometimes, it might pay to be specific: poor countries, countries with child mortality rates above 1%, etc.
Not recommended is shithole countries.