first-world problem
n. A trivial frustration or petty concern, particularly one that contrasts sharply with serious problems such as those faced by developing nations.

Example Citations:
Dear Wined Out: First, let me thank you for outlining the very essence of the phrase “first-world problem“ in this space.
—Amy Dickinson, “Pre-party makes guests less charitable,” Chicago Tribune, September 13, 2013

It’s not even that That Guy is wrong. But does he have to be such a jerk about it? Doesn’t he realize that the difficulty of finding your favorite amaro in local liquor stores is the madre of all First World problems?
—M. Carrie Allan, “DIY amaro, the way to love a bitter end,” The Washington Post, October 15, 2013

Earliest Citation:
Wait for me if I don’t show up
Take from me this hypocrite’s cup
And somewhere around the world
Someone would love to have my first-world problems
—Matthew Good, “Omissions of the Omen,“ Last of the Ghetto Astronauts, July 1, 1995 (approx)

Notes:
I know, I know: I'm late to this by now well-known phrase, but if you complain about my tardiness, I think you know what my response will be.

Here's the earliest print use I could find:

Also on the Discovery Bay agenda is the problem of the new Guardforce security guards. It seems they’re “distastefully dressed”.

“Their uniform is quite ugly,” sighs one citizen.

Chimes another: “I do not like their uniform either. But no worry, it will be changed later. This is one of the contract terms.” Ah, First World Problems.
—Charlotte Parsons, “Voyage of discovery as combatants go to water,” South China Morning Post, November 27, 1999

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