Ummm, Europe, Asia, and Africa are CONTINENTS. Each of these Continents contains several countries.
Australia is a country. (By some definitions Australia is also a Continent)
It is funny to read all the North American Centric views here. Sorry, but sports like American Football, Ice Hockey and Baseball don't really count in this discussion. Otherwise, you must also include Cricket in which case you must include Sir Donald Bradman. Sir Donald Bradman was the Babe Ruth of Cricket. Cricket is played in a lot more countries in the world than sports like American Football and Ice Hockey. His record on the International Stage is akin to Gretzky's in North America.
This discussion should really be focused on truly International Sports .... Football (Soccer!), Tennis, Basketball, Boxing, Golf, Swimming and Track Athletics. All of these sports have a significant presence all over the world.
So on that basis Federer and Jordan certainly up there. Much of the world wouldn't even know who Brady and Gretzky are. The first time I ever heard of Wayne Gretzky was when he hosted the final instalment of The Tennis Channel's "100 Greatest of All Time". I then googled Gretzky. What he achieved in his sport is breath-taking but he is not a universal name in a universal sport the way Federer, Jordan, Ali and Nicklaus are.