Is It Only The US President's Wife Who Is Called First Lady Or Others Too?

No not only the US president's wife is called the first lady but the wife of the president in any country. Europe included. So for example, when Berlusconi was in power, his wife was referred to as the first lady of Italy,  and when she caused a scandal later in the newspapers, jokes were made that she was angry about now being the second lady, when he chatted up a T.V. star.
However the tradition in Britain is to call the wife of the Prime Minister by her own name. So, for example Cheri Blair, rather than calling her the Prime Minister's wife. Which is considered, a devaluing of a person to be respected for her own achievements in the legal field.

It is not just the US president's wife that is called the first lady. Rather the wife of a president in any country can be called the first lady. However the term is usually stated popularly with respect to the US president's wife.