About 15 years ago this kind of "application firewall" used to be really popular on Windows. IIRC, ZoneAlarm and/or Kerio was really popular? And some Antivirus software also included application firewall. Can't vouch for anything particular these days, though, haven't used such thing for a long time.
The problem with all such applications on Windows was (and probably still is) that it was too easy to install something that could bypass them at the network layer.
The other issue was that their blocking wasn't fine-grained enough; you couldn't, for example, do what others are describing elsewhere in this thread, allowing an application like firefox to connect to a particular site on a particular port only. You could only allow or block the application itself. You could tell the firewall to explicitly ask you on every request, but of course that wasn't feasible for apps like Internet Explorer. So anything that wanted to get around the firewall could just script Internet Explorer to send its request in the background and you would never see it.
Zone Labs released ZoneAlarm in 2000. Microsoft shipped Windows XP with the built-in Internet Connection Firewall (later rebranded to Windows Firewall) in 2001. ZoneAlarm was far more intuitive to use, but there was only one year when Windows did not have a built-in firewall while ZoneAlarm already out.
To be fair, Window XP's firewall cannot block Outgoing connection, only Incoming. Vista SP1 and later versions of Windows include a firewall with Outbound blocking.
I've tried various apps, including this. Other apps like this too, both on Linux and Windows.
On Linux, OpenSnitch and Douane. OpenSnitch is not optimized and results in high CPU usage when you move a lot of traffic. With Douane I had trouble using it for longer than a day since it resulted in my PC crashing caused by the kernel module that it installs. There seemed to be a bug in the C code somewhere, and it didn't go away when I checked back a couple months later.
Coming to Windows, most apps were really old. Only some actually worked with Windows 10 where NDIS 6.x came in and broke some things. Those that did work were so basic you could just use the Windows Firewall app. I tried everything I could get my hands on (in a VM) in search of the nice features that LittleSnitch provided. GlassWire was so far ahead in the features and control it provided, I made an exception in buying a subscription based software (which I almost never do)
