The main antagonists in the Cold War were the United States and the Soviet Union. However, the Cold War ended up affecting practically every country in the world in some way.
Some countries were affected by having wars erupt within them. The three biggest examples of this were Vietnam, Korea, and Afghanistan. In each of these wars, indigenous communists fought indigenous non-communists. In each case, both sides had help from other countries that were on their side. In each case, the countries were badly impacted by the fighting.
In other countries, the impacts were more positive. The US and the USSR would compete with one another to help countries that were not firmly aligned in one camp or the other. They would often give economic aid to countries to help persuade those countries to take their side. This meant that some countries benefitted from the Cold War in economic terms.
Finally, we can say that all countries were affected by the Cold War because the Cold War shaped the international order. All countries had to worry about what would happen if nuclear war broke out between the two main powers. By contrast, most countries also benefitted to some degree from the relative peace that typified the Cold War. The US and USSR generally kept large wars from breaking out among other countries because it was in their interests to do so.
Thus, the Cold War had a wide variety of impacts on various countries of the world.
The Cold War forced countries outside of the United States and the Soviet Union to choose sides, whether they wanted to or not, and gave both superpowers an excuse to meddle in the affairs of sovereign nations. The Soviet Union, for example, felt it had to keep an iron grip on the buffer zone of Warsaw Pact nations to its west and impose communism on them, fearing the U.S.-aligned capitalist countries in the West would try to invade. The U.S.S.R. erected a metaphoric "iron curtain" between its satellite countries, such as Poland, East Germany, Hungary, Yugoslavia,and Czechoslovakia, and western nations, so that travel between the two zones was difficult. When countries such as Hungary and Czechoslovakia tried to loosen the grip, the U.S.S.R. sent in tanks. In Berlin, it physically erected a wall to keep Germans in East Germany. Meanwhile, the United States organized its allies into NATO, with mutual promises of protection backed by U.S. military might. If the Soviets worried that the West would invade it, the West feared the Soviets wanted to spread communism worldwide.
Fearing the "domino effect" in which countries one by one turned communist, the U.S. asserted itself into Asia, engaging in open warfare against both North Korea and North Vietnam. It also interfered in the internal politics of African nations, fearing the spread of communism on that continent. For example, when President Lumumba in the Belgian Congo asked for Soviet help against nationalist factions, the West got involved in what has been described as a "proxy" war between the U.S.S.R. and the U.S. In South America, which it considered a sphere of influence, the U.S. was quick to train and back anti-communist forces and leaders. Whether or not the smaller nations across the globe who were used as pawns in the struggle between the superpowers would have fared better or worse without Cold War interference, there is no doubt the Cold War had a profound effect on the entire world.