Hmmm, yeah, that can happen, especially if you are the first to start wars and a few people know about it. Sucks in the beginning because usually they refuse to trade you luxuries first so you get happiness problems.
Here's a general plan of how a world-conquest on immortal might go:
The main idea with immortal is they start with several key advantages including the tech for archery and, 2-3 warriors, and a free worker. If you let them go they will get ahead for a time. They also get gold advantages. But for an opportunistic player, all of these advantages can be yours. The AI starts with a free worker? Steal it. The AI get gold bonuses? Take advantage of this by hooking up your resources as fast as possible: horses, iron and selling them all for 2 gpt apiece. A lot of AI will make this trade as long as you trade 1 resource at a time. So just keep making trades like 1 horse for 2 gpt, another horse for 2 gpt, 1 iron for 2 gpt. Not everyone does it, and usually they'll only do a few, but it makes for some massive early gold, and you've essentially stolen all their gold as they can't use all those horses or iron now that they can't support the troops! haha! AI also enter golden ages early so watch for when their gpt soars and make these deals then. They will be eager and in 10 turns when the GA vanishes they will be negative for 20 more turns and be nerfed in science.
If you intend to go for world conquest from the get-go, then play it easy in the early beginning, especially if a lot of ppl know each other. You want at least a DoF or two before starting the first war that results in you taking cities as taking cities cranks up your warmonger stat real quick. A lot of the timing of when you begin striking is due to luck or the AI involved. If you start relatively near a warmonger with a weak civ between you, most can be easily bribed into fighting with you and splitting the cake. Just cough up some gpt or an extra luxury and that's all the incentive they need. Other times you get 4 peaceful civs and can't get any allies for early war--these games are harder, so play it by ear.
That said, early economic wars can be very beneficial. One thing you can do if I intend to spill some blood is DoW the first AI you meet if you are sure he is near you (aka found his capital). No one else knows about it bc you've met no one else and you can steal his starter worker for yourself. There is no way his 2-3 warriors can take your capital at this point and you have now transformed his main advantage (a free starting worker) to your own. If you can manage it, Keep the war going, even if you meet someone else the DoW is past and they don't seem to notice or care if you are already at war when they meet you. I'd try to pillage for some early gold and steal another worker before making peace. The point isn't to take his capital which will be a long and costly affair. It's to economically cripple him. You now essentially have 2 starting workers for free, have set your closest neighbor back maybe 30 turns (which snowballs) and have free workers to accelerate your capital's early growth. From this point, shoot straight for education and medieval military tech. Play it peaceful. Use your advantage to catch up on science. And bide your time. Don't explore much. It limits your early trade options but often you only need 3 AI or so to pawn off your extra luxes and resources for gold. Also, you want to have met as few AI as possible when you invade your first civ.
When you have a good empire rolling and nice positive happiness, before world congress is founded (trebuchets and longswordsmen are a good time) then take someone. Usually the AI you crippled early-game is weaker and a nice first pick. You should have a couple of friends that you can hopefully entice to attack with you, but ideally make them go to war a dozen or so turns before you so they both weaken each other. You DO want friends for this war, I would not start it without them, as having friends and the AI in question being a common enemy lessens your warmonger hit. Beeline the capital and burn any cities that will just be a happiness drain. Let your allies finish the AI, but never do it yourself. The idea is to leave them crippled as bait. Then if someone else finishes them off they get the huge warmonger hit and you can pin the attention on them.
If everyone hates someone else they are often a good second target as the AI won't care as much about them. If you can do this to 2-3 AI before world congress you have made a good start. After WC trade for all the lux deals you can get. Once you have them all locked down and have a good positive happiness do some more warmongering. The world will often know you for what you are at this point but often this leaves about 4-5 AI defeated. You'll suffer in happiness as they stop trading with you but you have 30 turns of luxes before all your new trades end. Use this time to build happiness buildings, acquire CS, and burn cities that are a drain. Then sit tight and tech like crazy to be the first to ideologies. This also makes sure you don't fall behind on tech. Once you pick autocracy there are enough happiness options there to keep you flush even on your own with the rest of the world hating you.
This advice is for the typical game, where you start and immediately meet 4-5 AI on a mid-sized continent with others farther afield that you won't meet till WC. If you start on a smaller continent with only 1-2 AI then you are golden. Wipe them out and no one else is the wiser. In fact, just keep war going, it's immortal so you're better off not letting them snowball with their advantages. Steal their workers, pillage their improvements. Stunt them as much as possible. Then finish them off before you meet anyone else.
