Churchill was involved since very early on. The UK were in fact an impetus for the US work — they explicitly helped push it into its mature, production phase, when they realized that the US had a better chance of pulling it off.

The Canadian leader, MacKenzie King, had some inkling of it though I don't know exactly how "read in" he was on the matter. The Canadians were considered an important source of uranium ore, heavy water, personnel, and had a reactor constructed near Montreal (though it was cut off from the rest of the Manhattan Project — information could flow out of it but not into it).

The USSR had inklings of it as early as 1940, though their main sources of espionage information did not flourish until 1942/1943 (along with the US project itself). They were not formally informed until the Potsdam Conference in July 1945.

Several Indian physicists showed up during the war and asked to be taken to where the uranium was being enriched, and got detained instead. They said it was obvious that the US was working on this, if you thought to wonder if they were.

The Chinese were not told and had no inkling, to my knowledge.

Of the two main Allied leaders, both knew about the Manhattan Project, Churchill legitimately and Stalin illicitly. The British had began work on nuclear power under the MAUD Committee. The findings of this committee were passed on to the USA, leading to the founding of the Manhattan Project. Under the terms of the Quebec Agreement of 1943, American, British and Canadian scientists would work together on the Manhattan Project. A Combined Policy Committee was set up to ensure that all parties were informed about the progress of the project. General Groves did, however, compartmentalise the project such that most British and Canadian scientists had no access to the data that would be necessary to produce a nuclear bomb. Stalin found out about the Manhattan Project in two ways. The most indirect was through the nuclear physicist Georgii Flerov, who realised in 1942 that no one was citing a paper by him on U-238. This led him to discover that no Western scientists were publishing on nuclear fission, especially not those who had been working on it pre-war. This suggested to him that the West was working on military uses of fission, and he brought this to the attention of the Soviet establishment. Stalin also knew about the project through a variety of spy rings. Soviet spies had infiltrated the Canadian teams working on the program. Klaus Fuchs passed a large amount of information from Los Alamos to the the NKVD.

By contrast, it seems likely that the Germans knew very little about the Manhattan Project. The scientists working on the German nuclear projects were incredulous that the Allies had managed to produce a uranium bomb. While they had vague ideas that the Allies were working on nuclear fission, they had little knowledge about the extent of the Manhattan Project. The German intelligence networks were mostly run by MI5 and the FBI, and so the Allies were able to prevent the Germans from finding much out about their nuclear projects.

Sources:

The text of the Quebec Agreement, found online here

James Conant, US-British Relations on S-1 Project, 1942, online here

Jeremy Bernstein, Hitler's Uranium Club: The Secret Recordings at Farm Hall, Copernicus Books, 2001

Alex Wellerstein, Rare Photos of the Soviet Bomb Project, 2012, http://blog.nuclearsecrecy.com/2012/07/27/rare-photos-of-the-soviet-bomb-project/