Depending on where you are in the country its either Wales, Scotland or England.
The country between Scotland and Wales is... England.
England shares borders with Scotland and Wales, so they are the equally closest European countries to England. The closest mainland European country to England, which may be what you mean, is France.
England is bordered by Wales in the West and Scotland to the North.England is in the UK which is a country which contains Scotland, Wales, Northern Ireland, and England
Wales and Scotland.
England is bordered by Wales and Scotland.
Its immediate neighbours are Wales (to the west) and Scotland (to the north).
Scotland has a land border with just one other country, which is England. The Province of Northern Ireland is a short distance across the Irish sea. A little further away are the Republic of Ireland and Wales, further away still, to the north and north east are Iceland and Norway. To the east of Scotland lie the Benelux countries, and Denmark.
Northern Ireland then Scotland, Wales and England, These four countries are collectively known as the United Kingdom (UK)
The United Kingdom (UK) is comprised of England, Scotland, Wales and Northern Ireland.
England has a land border with Scotland and Wales. The nearest overseas country is France which at its closest point is 22 miles away across the English Channel.
Wales and Scotland are the countries closest to England England has land borders with both Wales and Scotland, so both are just a step away. At the nearest point, France is 21 miles away.