Well, Fantastic Beasts and Where to Find them is actually more of a guide book about the magical creatures in the Harry Potter universe and not so much world building. The closest thing that I can think about would be The Silmarillion by J. R. R. Tolkien. He did an insane amount of world building for his Lord of The Rings universe and this book chronicles everything from the creation of the world to its history and wars and much, much more. Tolkien actually went so overboard with this thing that his publisher at the time rejected an early draft because they thought it was way too obscure for casual readers to enjoy. Eventually it was edited and published by his son after Tolkien passed away. It's not an easy read or filled with cool illustrations like Fantastic Beasts and Where to Find Them, but in terms of world building I don't think anymore more comprehensive has ever been written by other authors.

The only other book that I would say comes close would by The World of Ice & Fire, which was published in 2014. It's not completely written by George R. R. Martin himself, but like Fantastic Beasts and Where To Find Them, it serves as a bit of a companion book to the main series. What I really enjoy about The World of Ice & Fire is that it is written from the perspective of a Maester, who are like the historians and advisors of the world that Martin created. The other neat thing about the book is that the other two authors who helped Martin with the book are actually superfans who run a fansite for the books. The book is also illustrated, which puts it more in line with Fantastic Beasts and Where to find them than The Silmarillion. Another fun fact, Martin actually referenced The Silmarillion when he said he plans on also writing an extensive volume like it one day, but that he would call it the "GRRMarillion." The second companion book was later released as Fire & Blood and it has extensive details about all the Targaryen kings and their reigns.