Here's my response from
another topic that touches the matter:
Basically you need a nation that:
- is not too big to overwhelm you with multiple fronts, big-scale micromanagement, worldwide interferences etc.
- is not to small to let you feel you have an impact on the course of history
- has interest in all types of warfare to let you learn dealing with army, navy and air forces
- is relatively safe
- has a decent industrial base
- starts war quite early to let you make some mistakes and learn before big actors join
I'd say Italy suits best. In addition, there is no shame if you fail as Italy
Another option is to start as a land-focused country and neglect learning naval warfare for later games. In such case one of the Balkan states (+ Hungary) might be fine to play as a German support while trying to squeeze something for you.
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About some nations mentioned here by others:
Canada and Turkey are fine. Both are versatile; as Canada you can learn every aspect of the game; as Turkey you will probably have to neglect navy and the game may be more challenging (depends on chosen alignment).
USA is too overwhelming. You have two fronts to keep an eye on and there is management of this colossus. Plus you join the war relatively lately. Definitely not the best pick.
UK, on the other hand is very good for learning. It is not as complicated as the USA because your empire is self-managing; you can focus on European and African theatres and be sure that your dominions will do fine against Japan. Well, even if they fail, there is still your big American ally to whom you can leave all Pacific-related problems.
People suggested Brazil but honestly, what can you learn by playing there? Although materialising Getulio Vargas' wet dreams about Brazil joining the club of great powers seems encouraging, you may end up sitting meekly, building factories and beating weak neighbours without much effort. Imgaine countries like Paraguay with outdated materiel, without tanks, planes etc. just with poor basic infantry. You should encounter worthy opponents equipped with different weapons that forces you to counter them by adjusting your own armed forces. You won't find it in South America, I'm afraid. Waging war there seems effortless.