First Step Country

Each country has its unique mercenaries.

Korea
Korea is not really recommended as a starting country due to a lack of Damage Dealer. However, it has the best AA (Anti-air) hero and a hero that all players must have.

Awakened Siho is the best AA hero the game has. It is a special hero as his skill is based on Agility stat.

Kim Yushin is a hero that all players should have it. Its passive skill raises magic resistance, which is very hard to have unless you buy expensive equipments.

China
China is a good country to start as it has very useful heroes.

Feiyan is a general with the skill Ice Barrier which is extremely useful in the early games and absolutely required in the White Tiger Forest once you reach lvl 120 (or earlier if someone can summon you there with the guild skill). You will feel the difference in the difficulty to hunt a Blue Wolf with and without the Ice Barrier. Moreover, aside from the Ice Barrier skill, Feiyan can also refill the MP of your mercenaries. This is very crucial as the Damage Dealer/Hitter doesn't have infinite MPs and monsters in-game has a huge amount of health, not having Feiyan or Trebuchet would limit greatly your potential in battles.

Awakened Euna is the strongest DD hero of the game. The skill hits hard, the range is excellent (mid-long range), the hit area is very large (11x11), the casting is fast and has a probability to freeze the monster. However, the high cost (10 Hero's Soul Stone + 1 Awaken Stone) makes it hard to get and it is not so cost efficient.

Aohangji is a very useful hero. With his skill buddy*, the targeted ally unit and Aohangji shares the received damage, HP heal and resistances(!). It is highly recommended to promote a lvl 200 Longswordsman with Basic Taehwang set. Combined with a tanker or especially the Taiwanese male's skill, Aohangji will radically lower the difficulty of your game.

Japan
Japan is probably the best country to start due to the Improved Viper.

Improved Viper is a Hero that can deal a lot of damage, is easy to get (from doing quests) and can be used as a debuffer as well. Note that the Viper you get from the quest is weaker than if you raised and promoted a lvl 200 merc due to the bonus stat system.

Honganji can be used as an early-game tanker thanks to his summoning skill.

Taiwan
Taiwan is the country all players end up with due to the taiwanese male's skill which is rather OP.