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**First playthroughs**
Canada/Brazil/Mexico allies path - Easy, able to make a moderate impact, and you're relatively free to experiment without consequence. Good for getting a feel of production, helping out on various fronts and some minor naval stuff. Australia is also OK, just weaker than the above. Raj is also okay, maybe.
Hungary/Romania/Bulgaria axis path - Better with DLC. Otherwise, as above but slightly riskier and tougher especially if Germany starts losing.
Argentina - if you want to get a feel for carving out your own path against relatively weak neighbours (Haven't played this in a while so this may have changed with changes to the guarantee system etc - watch antagonising the USA)
**More advanced, but still relatively easy**
Italy - relatively easy, busy on multiple fronts, able to do some conquering, but somewhat limited in scope.
Germany/USA - easy once you know how to play due to sheer power, but complex as they tie all the systems together.
Britain - kinda inbetween the above options but capable of making a decisive impact.
**Maybe - could be tough depending on path**
Turkey, Sweden, Portugal
**Interesting but hard/avoid until you have a few games behind you, due to strategic weaknesses**
Czechoslovakia, Netherlands, Belgium, Poland, France, Yugoslavia, USSR, Japan, Nationalist China, Communist China, any Spain
I would say most other nations on the map are too weak to really have much of an impact on the overall war or provide for an interesting game without mods.
Hope that helps :)
Bulgaria is similar though a bit more to manage in the decisions side.
Canada is also a good one to learn on since you aren't likely to be invaded but you can play as big a role in the wars that occur as you'd like. It also has a pretty good focus tree.
I recommend getting the DLC's when they are on sale as most of them really do add flavor and other things that make the experience better. I wouldn't buy them at full price but they are regularly marked down so keep your eye on them.
EDIT: I got beat to it but those are good suggestions from Ceeker
germany has the most industrial potential as well as military potential
they decide when the war starts
as germany, you can freely expand as well, until poland
but by htis point you should have enough air force and divisions and some motorized corps to attack the netherlands
It might not be as dynamic as Germany, but it helps by being extremely forgiving in most aspects of starter gameplay.
You start off as one of the strongest nations and only get stronger as things go on being slapped with some incredible starting buffs like the MEFO Bills. It has plenty of options for easy early expansion through your focus tree so it's not like the US which is a snoozefest for half the game having nothing to do.
You also have a big army with a good manpower pool so it's not like playing as a minor where you need to be careful what you do and can't afford mistakes, as Germany you can actually afford to make mistakes and still be able to bounce back from them and keep going.
My advice is stay away from the naval powers - UK, Italy, Japan, US until you have fully grasped all the other mechanics.
Italy
OP, don't make a mistake that many people do by trying to "learn the game" by playing minor nations. As a minor nation and with no idea how to play, all that you are going to do is just staring at the screen while game time flies by, occasionally selecting a new focus. Sure, you can fiddle with UI and a very limited building and production capacity while going with the flow wherever your AI faction is taking you, but you will not learn how to make an impact (military, economical or otherwise) simply because you playing a nation that virtually does not have any unless you really know what you are doing.
While it might feel overwhelming playing a major power, it also provides plenty of room for error, because many of your errors can be simply overpowered by huge production, manpower and tech advantage of a major faction. Sure, you probably would not be conquering a world on your first go, and there is a good chance that you might not even fare too well in your first big war with other major nations, but at least would be able to continue playing for a while and experimenting what works and what doesn't. In contrast, a slip up (or just a chain of events that not even depends on player actions) might quickly lead to being swallowed of your country by opponents.
In my opinion Italy is the best country to learn the game. They have a reasonable economy, strong starting force, and their theatre of operations is relatively easy to manage compared to Britain, Germany or soviet union for example. You also get some early wars that you can win with relative ease which give you the ability to practice the military aspect of HoI4 in a controlled environment. At the same time they are not as critical for your faction success as Germany is, so there is a bit less pressure on you. Italy also has a very simple focus tree from the time of HoI4 release when focus trees were not so huge they are now, which makes it easy to navigate and to make intelligent choices for a new player. Even the ingame tutorial is based on Italy. So go ahead and give it a try.
Army: Spain for me all the way, just play until the end of the civil war
Civilian economy: USA, can pretty much sandbox it until 1941
Military production: Germany til '39
Air: USA again, base air in UK and twiddle
Navy: italy til '39
Once you have the hang of each part then combine them, all the comments above seem to be good ones and valid at that stage. One of my own learning difficulties was trying to everything at once from the outset, it's easy to get overwhelmed and since in a full on game all the parts synergise then it's easy to overlook major stuff, Germany is a genuine Trojan horse in this respect, it's very possible to get by just using blunt force, but what a difference when you know how things interact.
The issue with "Military production: Germany til '39" and "Navy: italy til '39" is that as a new player one has no idea how much production and stockpile is actually needed to be ready for the war. One might think that he produces enough but as soon as the war kicks in and equipment losses start piling up, it might turn out that certain items might've needed 2-3 times more Mils than initially thought. Same goes for ships.