One effective way to learn countries and capitals is to combine memorization with geographic visualization.
Instead of memorizing a long alphabetical list, divide the
countries and capitals of the world into continental groups.

Start with Asia, Africa, Europe, North America, South America, and Oceania.
Then use a labeled world map with countries and capitals to connect each country with its actual location.
For example, knowing the capital alone is less useful than understanding:
Country → Capital → Continent → Location
This approach can be particularly useful for students preparing for geography tests and general knowledge quizzes.
A detailed reference is available here:
https://thecampusreview.com/geography/world-map-with-countries-and-capitals/