World War 2 was the result of a centuries-long process: the escalating cost of warfare in both men and material. This is usually brought up by historians in relation to [the military revolution] (https://faculty.history.wisc.edu/sommerville/351/351-16.htm) of the renaissance, but remained a trend that continued until World War 2 and arguably until the present day.
It was relatively inexpensive and uncomplicated to invade a country and establish dominion over it in the european middle ages because armies were small, lived off the land for the most part, and could get rid of the sources of local legitimacy by destroying local families. William the Conquerer, for example, divested the Anglo-Saxon ruling class of England over the course of his reign and replaced them with a strong Norman class. He only brought approximately 10,000 men for the invasion of England. Compare this to the battle of pavia, early in the period I'm about to go over, where Charles V brought around 23,000 men to a single battle against the French, or the later battle of Kunesdorf where the Russians brought 60,000 men. At one point in the 1650s, the Spanish had 300,000 men on their military payroll. More people, of course, meant more expenses.
How did this happen?
To simplify a very complicated theory, investment in new technologies gave countries better battlefield effectiveness, encouraging further spending on new tech. At the same time, states in Europe gained the ability to tax their subjects more effectively and thus pay for this expensive tech. At the same time, new technologies and tactics such as gunpowder and pike formations gave infantry much more effectiveness. This made the focus of warfare in Europe shift from relatively small cavalry-focused armies to larger infantry focused ones. More people meant greater costs. This coincided with a population boom in the 16-1700s, resulting in even greater reserves of manpower to pull from. The end result of this was a massive increase in the size of armies, creating further costs and further burdens on the civilian population who had to provide the army's upkeep. This also coincided with the development of sophisticated supply chains and the reduction of armies' reliance on plundering the countryside, putting additional burdens on the country that began an invasion.
This trend continued throughout the 1700s, but gained a massive boost with the French Revolution. The Levee en Masse, the policy of mass conscription used by the French, pulled much greater proportions of fighting-age men to the front lines than any European polity had done before (since the dissolution of the Roman Empire, anyhow). This was the first time a European state had millions of men in their army, giving the French army a decisive advantage for a time. The other European states had to adapt to this by recruiting even more men and thus paying even more. Society began to be fundamentally restructured to support the war effort. Further population booms appeared later, creating even more available manpower
Before we get to the further escalation of this doctrine lets discuss colonization. Plenty of african polities, for example, were invaded by European powers in the late 1800s. This did not generally result in economic deprivation, however. African states did not have the technological and demographic developments that the Europeans did, keeping their armies small, inexpensive, and mostly low-tech. Invading European armies were able to be small and relatively inexpensive compared to the armies that would be used in Europe because a few hundred Europeans could beat a William-the-Conquerer-sized army of Africans in pitched battle. This is opposed to europe, where hundreds of thousands of high-tech soldiers would oppose any would-be conqueror.
World War I resulted in even further economy-destroying developments in warfare as countries supported millions of troops and financed further weapon technology. Each country borrowed massive sums to pay for it all. Rationing was introduced. The imposition of debt on Germany after the war collapsed its economy for years.
WW2 further escalated the amount society was willing to give for war. Factories were requisitioned, rationing was reintroduced, conscription was used. Society was fundamentally shaped by the war effort. This was because, of course, if a country didn't take these drastic steps, it would be beaten by the country that did. A medieval kingdom would have neither the inclination nor the administrative ability to do this, but as a result of centuries of escalating warfare, modern nations would.
Less troops are generally involved in wars after WW2, but this is mainly because high-tech, high development powers largely haven't gone to war with each other. It's still not necessarily an economy-breaker to invade a low-tech country as a high-tech one. Even the massive moneypit of the Vietnam War didn't collapse the US economy, and that was a worst-case scenario. It's invading a fellow high tech country that would be extremely expensive, as total war requires incredibly large amounts of men and incredibly large amounts of material, to the point of society being restructured to provide for the war effort. This is the type of economic collapse the question mentions, and it's due to the escalation of war and state power as discussed above.
As for embargoes, these are mainly a tool to avoid these costs while still influencing other nations. Embargoes are often used by powerful countries on nations that invade others to avoid destabilizing the status quo and to serve the recently-developed ideals of self-determination and human rights. These ideals were far less powerful before the late 1800s, and had less influence on leaders of polities. It's also important to mention that trade was far less globalized before World War I, and an embargo would not necessarily have been as effective. The power and reach of any imposing country would also be less prevalent before WW2, when two global superpowers could effectively influence any nation in the world at any given time. Just for example, I doubt that if Portugal opposed Mughal expansion into India they would embargo them, and if they did I doubt it would be very effective. They would not feel the inclination to help the countries being subjected and their power is not great enough that an embargo would make a difference.
Finally, I should note that the question itself is somewhat flawed. It was not, in all instances, easier prior to WW2 to invade other countries without risking one's economy collapsing, or even embargoes. The Japanese, after all, risked both with the invasion of Manchuria and China in the 1930s. King Leopold of Belgium was forced by diplomatic pressure to give up the Congo to his nation's government. It was not always so easy.
TL;DR: Increases in certain countries' technology, manpower, and state power escalated warfare's cost and national involvement over centuries to make it inconceivably expensive by WW2 when fighting another developed power. In addition, a variety of factors made invading other countries less diplomatically acceptable and more-easily affected by embargoes.
Sources -Renaissance France at War: Armies, Culture and Society, C.1480-1560 -The Rise and Fall of the Great Powers, by Paul Kennedy
To tack onto the excellent answer above, there's a distinct difference between the world economy pre-WII and the world economy today.
The premise of your question is a little flawed; pre-WWII wars still would tax a country's reserves and economy just to maintain an army, or especially a navy, but you're right in that things are more risky now. Prior to world war 2 (and still for a time after it), the developed countries (i.e. Europe and Japan) were overwhelmingly Mercantilist. Much of the mercantilist system was intrinsically tied to colonialism, for a couple obvious reasons: mercantilism was about having a 'sphere of influence' to specifically feed raw resources and capital back to the colonial master without having to rely on another developed country. In short, the british or French empires used their colonies and military might to edge other rivals OUT of whole sectors of the world, specifically to deny them access to markets while simultaneously guaranteeing it for themselves. The world economy was not really free like it is today; British companies wouldn't be competing with, say, French ones or Chinese ones (in broad strokes, but you get the gist)
This system was lambasted by pioneers in economics such as Adam Smith and by writers such as Johnathan Swift. It was, after all, based on accruing wealth to the colonial center and stressing autarky, which in turn would ensure wars would just expand needlessly without sufficient monetary incentive to avoid them. Errr, that's a rough sentence. Don't mean to get into philosophy, but the gist of what I'm saying is that a colonial Empire like Britain enjoyed economic dominance in its sphere, and that meant it didn't rely on importing goods from other developed countries.
The USA, in contrast to a lot of European powers, had its own thoughts about the world economy, likely driven by its own industrialization. In 1944 the major European allies held the Bretton Woods conference to try and figure out the post-war order, at least in economic terms, and the USA championed an agreement on open markets.
This THOUGHT, open markets, contributed to the highly interwoven world economy you find today, where the USA and China are held together by one's need for raw materials and the other's need for a marketplace to sell things to. Britain, without its colonies and thus its extraction, can still enjoy the luxuries and commodities of the world because of the principle of free trade. The World Trade Organization, founded in 1995, can probably be thought of as the pinnacle of the anti-Mercantilist order that dominated pre-WWII. The WTO ensures that developed nations are adhering to open markets and fair trade practices, making them tightly more interdependent, and as a consequence of this (very much intended by the people who first pushed for it) war between developed countries is much, much costlier.
After all, there's just more at risk in shutting off imports. The interdependence of economies makes it so. Depriving your own people of German goods or depriving your own industries of cheap Vietnamese semiconductors is an excellent way to breed resentment among the masses and also crash your own domestic industries unintentionally. Similarly, if other countries refuse YOUR exports, then your industries aren't making any profit like they used to, since the free market incentivized them to innovate, and then with innovation they produce more than the domestic market can consume. That's an oversimplification but you can look at the case of agribusiness in the USA or the petrostate tendencies of the Russian Federation to see what I mean...they need to export to maintain profits.
This was a weird post, but I don't want to bore you in theory so I hope I didn't and I'll just stop here. Wealth of Nations, by Adam Smith, has a few chapters on this subject specifically talking about the European economic order, you can also try a very light academic text called U.S. Trade Policy: Balancing Economic Dreams and Political Realities by Rothgeb. It's a light touch but it'll go into far more historical detail about the changes in the int'l economy.