How do I create a user report with all the accounts assigned to the user's territory ? I also need them to be grouped by country.

You can try

1. Make sure that you have a custom report type that links the Accounts and Territories objects. Specify that the Accounts object must have related Territory records, and make all fields on these objects available for reporting.
2. Click the Reports tab, and then click New Report.
3. From the Territory Management category, select the custom report type created for this report, and then click Continue (Lightning Experience) or Create (Salesforce Classic).
4. Make sure that the Accounts field Account Name and the Territories field Label appear on the report. If they do not, add them.
5. (Optional) Filter the report results. To show data from territory models in Active state only, configure the filter options to show Territory Model: Label equals <name of active territory model>. From the Show Me (Lightning Experience) or Show (Salesforce Classic) field, to filter by account ownership, select My accounts, My team’s accounts, or My territory teams’ accounts. To filter by user territory assignment, select My territories’ accounts.
6. Add any other fields you find useful for this report.
7. Save the report and run it.