Categorical Variables - Classification
The answer depends less on the classifier and more on the nature of the variable. In your case One Hot Encoding might be the best answer. 

Label Encoding (Replacing categorical variables with integers) is useful when the variable is ordinal, i.e. it has a sense of order. For example the days of the week or the months of the year. Since they follow a fixed order, you can encode January as 1 and February as 2 and so on. The classifier would interpret Feb as being greater than Jan in some way (which is okay for a task like weather prediction and so on).

Can your countries be considered to be ordinal? If not, One Hot Encode them.