We all know that countries change borders. Some even disappear. Others take on new names. Only the outlines of continents is the same in 1700, 1800 and 1900.
Even within the United States changes affect where your family lived and where the records they left behind will be found. A farmer in Illinois may never have moved but he may have lived in three or more different counties. As people moved into an area the counties were split and became new counties often more than once. He might even have lived in one state and then in another such as when West Virginia broke off from Virginia during the Civil War.
Most genealogy records in the U.S. are on the county level. Deeds, probate records, marriages, and court records can all be found on this level. At one time vital records were on this level with the states taking over in later years.
Naturalization records can be on the county level, the state level and the federal level. They all must be checked.
Study maps of the time. If you ancestor lived on the far side of a large river from his county seat he might have done much of his business, including getting married, in the next county whose county seat was closer and easier to get to.
Towns disappear especially in the West where boom towns flared and failed within a few years. Some towns have been buried under reservoirs and others just changed their names or were engulfed by larger nearby cities. It is important to learn the history of the area you are researching.
There are countless sources for this information especially on the Internet. A few places to try are local historical and genealogical societies, museums in the area, written county histories, and how-to genealogy books. Two of the go-to books on my shelf are: Map Guide to the U.S. Federal Censuses, 1790-1920 by William Thorndale and William Dollarhide and The Handybook for Genealogists published by The Everton Publishers, Inc. Both of these books are old and probably out of print but if you come across one . . . grab it!
An example from the "Handybook" is Perry County, Illinois. It was formed in 1827 from Randolph and Jackson Counties. (Information on my ancestors is in all three counties.) The county seat is Pinckneyville and the county clerk has incomplete birth records from 1879, complete from 1916 to present, marriage records from 1827, death records from 1879 and the Circuit Court Clerk has divorce, probate and civil court records from 1827.
Never give up. New records are being found and published all the time. When you go back to work on a line after a few months or years not only will your research skills be different but the sources may be too.