Here you can download GADM data for the entire world. These are large files that may take a long time to download. It is best to download by country.
But if you want the data for the whole world in a single file you can download the GADM data as a single database in the GeoPackage format (this is now our standard format) or as a geodatabase.
You can also download this version as six separate layers (one for each level of subdivision/aggregation), as a geopackage database.