The countries in the Horn of Africa are Djibouti, Eritrea, Ethiopia and Somalia. The smallest country in the Horn of Africa is Djibouti, whose capital shares the same name as the country (Djibouti). The Horn of Africa covers the part of Africa that is the most eastern part of the continent and Djibouti lies not far from the Arabian Peninsula, with only a little bit of waterway (the sea) dividing it from Yemen. Djibouti is a multi-ethnic country with Arab and French being the two main languages.