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Traditionally, the smaller nations of Iceland and Finland were under their bigger neighbors Norway and Sweden respectively. The three big nations fought for supremacy. Norway changed hands especially often - sometimes it was in personal union with Denmark, Sweden or even Scotland, sometimes it was a nobles' republic.
The first Scandinavian Union was achieved by king Henrik VI of Denmark, but it fell apart after his death. A second union was made by the famous king Alexander / Alasdair IV of Scotland, but fell apart into Sweden and Denmark-Norway some decades later too. Now these two nations would compete. Sweden gradually gained dominance, first by taking northern Norway in the first Nordic War, then the rest of it in the anti-French War, and all of Denmark in the third French Republican War (which is why these two wars are synonymous with the second and third Nordic War in Scandinavia, too).
In 1879, Germany invaded Sweden / Scandinavia for fearing the Socialist threat and turned it into a satellite, the Scandinavian Republic. This situation only lasted until shortly after World War I, when Scandinavia turned Socialist again.