In addition to the options outlined by Passage, I would propose the following:
Option 4: The religion is exceptionally inclusive. The core principles of the religion may either be open to a wide variety of interpretations or so universal that few, if any, religions would be excluded. Alternatively, the original teachings have been fragmented or obscured to the point that it isn't clear what the core principles originally were.
With this option, all of the world's religious organizations can and do identify with the same religion. (Perhaps there is a social or political incentive to do so.)
For inspiration, study Hinduism. Instead of being split into clear divisions, it's a big, interrelated family of various practices. Some Hindus follow the traditional polytheistic route and pay homage to the entire pantheon, while others will dedicate themselves to a specific deity. Some Hindus view the deities as distinct entities while others view them as aspects of the same single supreme being. Some prefer a devotional approach (i.e. 332
prayer and rituals) while others will focus on a more introspective approach (i.e. meditation).
In your world, a similarly flexible and diverse religion may have spread early enough that it has either incorporated or eliminated all others.
Option 5: Religion is or was nearly extinct. The world religion is the only survivor.
What could possible have caused religions to disappear? There's a number of possible reasons, though how plausible they are depends upon the era in which you want this single religion established.
In a more modern setting, it could be easily explained by the growing popularity of science and secular humanism. As generations pass, people abandon religion. However, unlike our world, there is only one religion with enough organization and cultural clout to persevere.
In an ancient or medieval setting, this might be explained by the expansion of an Empire that was extremely anti-religious. (Perhaps the Emperors felt worship of deities threatened their power.) This led to a purge that destroyed most religions or forced them underground where they eventually faded away.
Option 6: A well timed catastrophe could explain the existence of a single world religion.
Imagine a religion with a prophecy of doom that involves fire from the sky followed by a long, dark winter. Now imagine that a major meteor crashes on the planet and triggers a major extinction event. Lastly, imagine that those familiar with this religion are among the few survivors. Not only will the religion spread widely as the world is repopulated, but its legitimacy will be cemented for millennia. 332