From the CiviCRM menu -
Administer > Localization > Languages, Currency, Location.
Select required countries from the 'Available Countries' option.
CiviCRM help on this option -
Which countries are available in the Country selection field when adding or editing contact addresses. Profile and Custom 'Country' fields also use this setting. To include ALL ...
You could generate report using the Smart Group as your filter and save that report. The report can be used as a dashlet which is available upon login or you can have it emailed to you as well. More dashlet info is here: