I'll refer you to this interesting thread regarding the idea of Germany winning the war.

https://www.reddit.com/r/AskHistorians/comments/2ee4kf/is_germany_in_ww2_the_new_lost_cause/

That said, I'll also answer the question. The answer is, well rather complicated. Depending on what Nazi Germany's goals were it's possible although not very probable at all that Nazi Germany could have capitalized and consolidated some of their goals.

Realistically though, they didn't stand a chance. Although the Wehrmacht managed some rather impressive things in the early onset of the war, remember that Germany had begun mobilizing in 1935, a full four years before the outbreak of World War 2. Not only that but their early victories did not fortell the difficulties that they would face soon after.

Take the Battle Of Britain. Despite the large air force mobilized by the Germans, they had no way of actually consolidating on a potential victory if they had one. Germany had no invading force, no naval power or a landing operation in preparation. Nor did they have a navy or logistics to support an invading group on the Isles. Despite having what some would call the initiative, the Germans could not subdue the British Isles despite the heavily destructive bombing campaign. Note that this was the actions of a Germany that had the initiative, that was essentially more mobilized than any other force in Europe at the time. And as early as 1940, even if the Germans achieved an overwhelming tactical victory, they could not seal the deal on the British Isles.

In my opinion the problem with evaluating a potential German "win" as a result of World War 2, is that it relies on counterfactuals that generally require a stretch of imagination. As it stands, it wasn't that Nazi Germany was necessarily doomed from the start, but it challenged not one, but eventually three industrial powers that could outstrip it in industrial capacity and resource capacity.

That said, if there was one time that essentially spelled the beginning of the end, I probably say that the battle of Stalingrad marked the turning point of World War 2. By then, the USSR had recovered. Although the USSR had suffered severely at the onslaught of the German Offensive, the defense of Stalingrad as well as the encirclement and subsequent destruction of the 6th Army and the failed breakthrough of the 4th Panzer division essentially spelled the end of the momentum of the German military. Essentially by 1943 Germany was losing on essentially all fronts. In Africa, the campaign had ended in disaster with Rommel commanding a very costly retreat and the main force that was attacking the Eastern front essentially collapsed. If there was a true and obvious turning point, the beginning of 1943 would mark that.

As to the year most Germans realized, I would wager 1944. We can see from Hans Guderian's Panzer Leader that it was rather apparent in 1944 that the German command was well aware of the deficiencies of the German military and continual piling of difficulties it would face from fuel to supply shortages to a dire lack of trained personnel. But the reality was, post-Stalingrad, the German military machine had run out of steam. It couldn't capitalize and consolidate its acquisitions early on and Germany decided to continually overstretch not only its supply lines but it's manpower continually. Despite the forward momentum, inertia kicked in. And when it did, whatever gains Germany made in 1941 was quickly lost by 1944.

Germany's greatest weakness was a lack of credible naval power. Very early on Germany's destroyer force encountered the Royal Navy at Narvik, the Graf Spee was lost at Montevideo and her capital ships were reduced to making nighttime dashes through the English channel. Even if Hitler had headed south to the Middle Eastern oil fields and consolodated his position in North Africa, the Balkans, Greece and the Mediterranean, the unconquered British Isles would have been a grave threat to his empire. Quite how long the Russians would have tolerated a Nazi Europe is uncertain, but Stalin's notorious paranoia would have certainly lead to a Russian declaration of war at some point, especially if the Germans were on his southern border in the Middle East. By late 1940 British factories were churning out heavy bombers and fighter aircraft in great numbers. Germany lacked strategic bombers having focussed on light bombers to support ground forces in "Blitzkreig". Without strategic bombers any effort to subdue Britain by airpower was futile, and debatable with. Britains heavy bombers were meanwhile pounding German infrastructure and factories. The notion that Britain was on the verge of defeat was a fiction pushed by Churchill to frighten the Americans into the war. Before the Americans arrived, the tide was turning in Europe. The Italians were driven out of North Africa, the Italian fleet was hammered at Matapan. Hitler and Mussolini's failure to dominate the Mediterranean led to severe shortages for Rommels Afrika Corps and the Luftwaffe had no control of airspace outside the immediate borders of the Nazi empire. In short, it was never possible for the Nazis to achieve world domination, it was not even possible for them to maintain their European empire. Even if the Americans had never entered the war, Nazism would not have survived into the 1950's.