For the large majority of countries, the continent question answers itself: Germany is in Europe, Japan is in Asia, Kenya is in Africa, nobody needs a strategy for that. The useful thing to study is the specific, repeatable set of exceptions that keep catching people, and they fall into a few clear categories.
Islands get grouped by history and politics, not just geology
Madagascar sits off the coast of Africa and is grouped with Africa (Eastern Africa, specifically), which matches most people's intuition. Cape Verde, also off the West African coast, gets the same treatment. But plenty of island groups are grouped by colonial and political history rather than strict proximity: the Caribbean islands are grouped with North America despite sitting closer to South America in some cases, and most Pacific island nations fall under Oceania as a political and cultural region rather than a single landmass.
A handful of countries genuinely sit on two continents
Russia, Türkiye (Turkey), and Egypt are the clearest cases: each has real territory on two continents, not just a disputed border. Russia spans Europe and Asia across the Ural Mountains, with the vast majority of its land (though a minority of its population) in Asia. Türkiye's Thrace region sits in Europe while the rest of the country, Anatolia, is in Asia. Egypt is almost entirely in Africa, except for the Sinai Peninsula across the Suez Canal, which is geographically part of Asia. See Transcontinental Countries Explained for the full story on these three and a few other borderline cases you'll see mentioned elsewhere.
A few countries surprise people for no geological reason at all
- Cyprus is physically close to the Middle East and Turkey, but is politically and culturally grouped with Europe (it's an EU member state).
- Iceland is grouped with Europe, despite sitting on the boundary between the Eurasian and North American tectonic plates.
- Kazakhstan, despite a sliver of its territory lying west of the Ural River by some definitions, is classified here as entirely within Asia, consistent with how it's treated in most standard geographic references.
A study strategy that actually targets the problem
Don't drill every country at equal weight. Once you can place the obvious majority correctly and consistently, that's done; stop reviewing it. Put your remaining effort entirely into the short list above, plus whatever specific countries your own practice sessions keep flagging. That's a much smaller, much more learnable set than the whole world shuffled together.
Sources: UN Statistics Division, "Standard Country or Area Codes for Statistical Use (M49)"; CIA World Factbook, country profiles for Russia, Türkiye, and Egypt.