Wales, Scotland, and England have their own teams (Northern Ireland contributes to the Irish team). The common explanation I've seen is that the nations have deep, distinct histories and cultures, but that doesn't explain why, for example, India doesn't get to send a team from each state despite India's ethnic groups being even more diverse and distinct than those of the UK.
So what is the actual reason for Britain into three parts for the purpose of international sport but not other countries?
The prosaic answer is that they each have their own FIFA-recognised national football associations.
More broadly, little about the UK makes logical sense. It just sort of ... happened that way. Lots of history, lots of it pretty fucked up, and here we are. A funny little collection of islands off the coast of France.
If it's any consolation, the nations making up the UK don't live in perfect harmony. The Scots and the Welsh hate the English, the Northern Irish hate each other, and the English largely tend to forget that Scotland, Wales and Northern Ireland exist at all, except perhaps as somewhere pretty to go for a nice holiday where it's kind of like England except they talk a bit funny.
Lots of countries have multiple nations that participate in international soccer. For instance, the US fields the USMNT, but also American Samoa and Puerto Rico. It is nations, rather than states, that are represented at the World Cup.
They actually don't, NI has their own side and they have qualified for the WC before (1958, 1982 and 1986).
The reason for individual teams is partly traditional/historical and partly because the UK is a union of nations, with the nations each having their own footballing representation for well over 100 years. I don't know the specifics of India, but it's not (as far as I know) a union of different pre-existing nations.
Also, given that despite their huge population India have never qualified for the World Cup, it seems unlikely that individual states would do any better.
Because the UK is where the sport originated and they already had separate national teams before anyone knew soccer would one day be an internationally successful sport and founded organizations like FIFA to organize it internationally. The idea of an international soccer match started with England playing against Scotland. So they got to keep that as an exception.
History. The first international match was between Scotland and England. The UK is a country made up of 4 constituent countries, thus, for some sporting events, due to previous national organisations being formed, and inertia compete separately and against each other.
This is actually to their detriment, as there have been Welsh, Scottish and Northern Irish players that would have helped "the national team" but ended up in their home country's team, like Gareth Bale or in the past, I think, George best.
It gets interesting with other sports, where N. Ireland joins with the all Ireland team.
The UK has representation by 4 teams - England, Scotland, Wales, and Northern Ireland.
FIFA recognises that football originated in the UK and that “international” competition began with matches between the home nations. This unique status is enshrined in FIFA statute, giving the home nations separate status from other countries and territories.
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