Nanolasers based on emerging dielectric cavities with deep sub-wavelength confinement of light offer a large light-matter coupling rate and a near-unity spontaneous emission factor, . These features call for reconsidering the standard approach to identifying the lasing threshold. Here, we suggest a new threshold definition, taking into account the recycling process of photons when is large. This threshold with photon recycling reduces to the classical balance between gain and loss in the limit of macroscopic lasers, but qualitative as well as quantitative differences emerge as approaches unity. We analyze the evolution of the photon statistics with increasing current by utilizing a standard Langevin approach and a more fundamental stochastic simulation scheme. We show that the threshold with photon recycling consistently marks the onset of the change in the second-order intensity correlation, , toward coherent laser light, irrespective of the laser size and down to the case of a single emitter. In contrast, other threshold definitions may well predict lasing in light-emitting diodes. These results address the fundamental question of the transition to lasing all the way from the macro- to the nanoscale and provide a unified overview of the long-lasting debate on the lasing threshold.

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