Countries around the world are continually changing due to factors such as conflict, annexation by another country, insurrection, breakup, and other factors. A historical sovereign state is a country that once existed with its own sovereign government, but that country no longer exists.
Many historical sovereign states were empires that no longer exist because they broke up into constituent countries. These empires go back to the ancient Persian and Greek empires, on to the Roman Empire, the Holy Roman Empire (which was neither holy, nor Roman, nor an empire), the Russian Empire, the Austro-Hungarian Empire, and the British Empire. For example, Rhodesia was a country in Africa under the British Empire, but in 1980, a few decades after independence, it became the countries of Zambia and Zimbabwe.
In Medieval Europe, many countries existed as alliances among landowners and are now states or regions within modern countries. For example, the Duchy of Brittany was a country in what is now France between the years of 939 and 1532. Today, it is the Brittany region of France and under the French sovereign government.
World War I and World War II saw immense disruption to the alignment of countries throughout the world. Alsace-Lorraine, the region that straddles France and Germany, ceased to exist in 1918 with the end of World War I. The Weimar Republic became Nazi Germany, both of which no longer exist and are parts of the modern country of Germany.
The collapse of the Soviet Union caused the realignment of many countries in Europe and Asia. Czechoslovakia and Yugoslavia were two countries that emerged out of World War I and World War II with communist governments but that dissolved with the collapse of communism in Europe. Czechoslovakia is now the Czech Republic and Slovakia, and Yugoslavia broke up into Bosnia and Herzegovina, Montenegro, Macedonia, Slovenia, Serbia, and Kosovo.
In the Middle East, The United Arab Republic was formed in 1958 as a union between Egypt and Syria; the United Arab States attempted to include North Yemen in this union. Both the UAR and UAS dissolved in 1961. Palestine is a country that has its indigenous population but no longer has its own sovereign government because it is under occupation by Israel.
Some view the Native Americans as having historical sovereign states, as they once had their own governments but are now part of the United States. There is some contention around this idea, as the US Constitution allows for autonomy of the native tribes, but this autonomy is often not respected.