League vs Cup

In term of football,

between these 2 formats,  which one difficult to win it,

League (EPL, La Liga, Serie A, etc.)

or

Cup (World Cup, Champions League, etc.)?

The comparison is invalid. You can compare two things with same measure unit. Here you are talking about something that are totally different as different teams take place in different competitions. Also, some competitions happen every 4 years and actually include new teams totally so there is no basis for comparison at all there. Also, what do you mean by difficult?

EDIT:
A more valid comparison would be to say what is more difficult, the league or the domestic cup, as there you have the same teams more or less. But still, it is difficult to compare as motivation to win one or another is different. And some teams might not be hell bent as some others to win them both, so eventually it makes one competition easier for some and harder for others.

1. World Cup
2. CL
3. League
4. domestic cups

that said most clubs in the world can only compete for the domestic cups