It seems natural for countries such as Egypt and India to have those names. But what we don’t realize is that the names that we use for these countries actually have no connection to the modern country but in fact take their name from historical names of countries that no longer exist.
Take Egypt. The ancient Egyptian name of the country is Kemet,, and the modern Arabic name of the country is Misr (or Masr), a word with Semitic origin. Egypt comes from the the Latin Aegyptus, which in turn derives from the ancient Greek Aígyptos, which means “below the Aegean [Sea]“.
Then in the Caucasus, ethnic Georgians call themselves Kartvelebi, their land Sakartvelo, and their language Kartuli. Georgia comes from a belief that came back to Medieval Europe from the Crusades that the country is the home of St. George, a Roman Christian martyr. And in Armenia, the native name for the country is Hayk, which in the Middle Ages was extended to Hayastan, by addition of the Iranian suffix -stan (land). The name Armenia derives from old Persian and Ancient Greek.
Modern-day Iran was known as Persia for centuries, following the name of the ancient Persian Empire that the Greeks know. Yet the people of that country have called their country Iran since Roman times, and it was not until 1935 that the country became known as Iran internationally. Part of the reason was that the Shah at the time, reluctantly subordinate to both Russia and Britain, sought to identify his country with the homeland of Germany, which had adopted the Aryan race as their national myth.
The name India is derived from the name of the Sindhu (Indus River) and has been in use in Greek since Herodotus in the 4th century BC. As it happens, the lands comprising the Indus Valley are presently entirely in Pakistan, this being the only region ancient Greeks had contact with (and in which Alexander fleetingly took control of during his conquest of Asia. The term appears in Old English as early as the 9th century, and again in Modern English since the 17th century.
How do these people feel about having such different international names? Indians accept the name India as one title of their country. Georgians are also pleased to be associated with St. George. Armenians and Egyptians appear indifferent. But there are some Iranians who are offended by the use of the word Persia from both a religious and ethnic nationalist viewpoint, as it was a pre-Islamic.