Past the first several hundred hours (wow, let's just think about that: how many games have you even played for 100 hours? I'm in my thousands already ...) simple expansion will lose it's challenge with every possible nation. If that is the only reason you play this game, I recommend that you look for something else, because it's not going to become more difficult once you've nailed all mechanics. The only thing you can do is make it more tedious or have your first decades more based on luck.
However it is possible to enjoy the game for almost endless hours (at least I haven't stopped yet) if you're making up your own rules and/or goals. As an example I'm currently playing Netherlands. Not exceptionally difficult at all in general, but I've limited myself to more-or-less historical borders in Europe. That means I'm very vulnerable (to a degree, I'm still the player and obviously better than AI) to the large European land powers even though I'm earning hilarious amounts of cash (1.500 / month in trade alone in 1650). There were some actually dangerous wars in the 16th century (whereas no war would ever be dangerous at that time if you just go all-in maximum expansion rate) because I had exhausted my merc pool and the AI was starting to carpet siege my European holdings. Pretty difficult to get back because I was almost unable to recruit new armies since I had mostly colonized America where I couldn't recruit men overseas (because CNs). One could say: "Well, that was badly played!" and from a game mechanic perspective it was - the difference being that I was aware of that and chose to do it because it's more interesting, challenging and plausible.
This is just an example, but you can aim for similar goals or self-restrictions in every game. Not necessarily making it more difficult every time but to have some sort of achievement past "grow as big as fast as possible". There are many interesting achievements PI added and there are hundreds more you can make up yourself and aim for. The challenge of sandbox games is to make your own rules and goals to enhance game-play and make every game different.