I'm looking for effective ways to learn world geography. One approach is to use a
world map and study countries by continent, connecting each country with its capital city.

This map guide from The Campus Review may be useful for learners who want a visual starting point:
https://thecampusreview.com/geography/world-map-with-countries-and-capitals/What works best for you when learning geography: blank-map practice, flashcards, quizzes, or reviewing an atlas?
I'd be interested to hear which methods help students remember country locations and capitals.