Is it correct and natural to say a country is closed meaning it's difficult to get into it? For example:
North Korea is one of the most closed countries in the world.
If not, what would a native English speaker say instead?
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having or forming a boundary or barrier
Therefore, this definition fits your sentence since there is a barrier to get into the country. As a native speaker, I would use your sentence.
North Korea is one of the most inaccessible countries in the world.