Muhammad (600 CE) is probably the most recent founding prophet of a major world religion.

Joseph Smith of the Church of Jesus Christ of Latter Day Saints and Bahá'u'lláh of the Bahá'í Faith are probably the most recent prophets of major and established religious groups (both were from the 1800s).

There are of course always people who claim to be prophets, but they are usually regarded as less and less credible the more recent they are. L Ron Hubbard being a good example.

[Note that Hinduism, doesn't fit well into the question. They always have some people who have a following because of their perceived higher ability to commune with a God or Gods, but they are not "prophets" per se in the western sense of the term.]

Haile Selassie (died in 1975), the last emperor of Ethiopia is seen as the returned messiah in the Rastafari movement which has around 2 million followers.