I've heard that people play all the big countries, but can you play like small countries like the ones in Africa? OR even better play the Aztecs or Mayans and conquer spain.
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U can play any country though u'll find the outer European nations quite limited so I don't see u conquering Spain just yet.
You can play any country that exists at the start of a scenario. Just make a new version of the scenario file and change one of the country abbreviations already there to the country abbreviation for the country that you want to play.