In the U.S. it is commonly taught that this was his end goal. They have further promoted this through film and movies. But it doesn't seem logical. What seems more logical is that this is escalating the drama for movies by pitting good vs evil on a much larger scale. I am curious as to what Hitlers public stance was when discussing why they were occupying different areas. It just doesn't seem realistic that they would have the man power to take over and occupy "the world".
Here is Hitler's initial public stance on the topic of invading foreign nations in 1939: https://www.youtube.com/watch?v=oliOWcS8254.
The official (and very likely actual) reason for the invasion into / annexation of the Rhineland, Saar, Bohemia, Danzig, Silesia and Alsace is the "Heim ins Reich" policy of extending the realm into all areas with significant or even majority German population. This is core NSDAP ideology, the "N=National" part.
France was invaded, because it declared war on Germany, same reason for planning the invasion of Great Britain (Operation Seelöwe/Sea Lion). The Netherlands and Belgium had the misfortune of being conveniently located for an invasion into France. Denmark and Norway were invaded in a competition with the British Empire for dominance of the North Sea. For similar reasons, the Empire invaded neutral Iceland (but this is totally different, because we are the good guys, remember?).
From Russia on, I'm a little less sure about the reasons. The official policy was "Lebensraum im Osten", "living space in the east", a very dark motivation that begs the question where the Russians currently living in the desired space are supposed to go. The actual reason might also be simply competition for the top dog spot as despotic land power in Europe or ideologically motivated hatred against Bolshevism, another core element of NSDAP ideology.
Germany actually declared war on the USA in 1941, not the other way round. The timing obviously suggests that the reason was the alliance with Japan. Finally, I would like to apologize to the people who lived in the invaded places I neglected to mention.
IMHO, the idea that Hitler wanted to conquer the world does not pass the giggle test. The World War was an escalating sequence of events, driven by the interests of several competing world powers. It also did not start as a single war with a single aggressor, but as a collection of regional wars with shifting alliances that merged into a single global one at the end of 1941.