Typically, countries can stay neutral when it’s more advantageous to the fighting parties to not invade.
Switzerland, for example, could tell them “you can invade us. But if you do, your banking becomes a lot harder, so you lose that, and by the way you know all those sealed trains you’re running through our mountains that we don’t ask any questions about? We’ll blow the bridges and the tunnels.” It was more beneficial to just let them be. The Allies weren’t in a position to invade, and also had no real benefit to come from doing so, and so Switzerland was safe.
Denmark on the other hand couldn’t do that, because it was worth more invaded. Germany wanted Norway for its lengthy coastline and ports, and to get that, Denmark was in the way. It wasn’t powerful or geographically hard enough to be hard to invade, and it didn’t offer them much useful as a neutral party, so they got invaded. Immediately after that, Iceland, which was part of Denmark at the time, and so also neutral, was invaded by the Allies, because while they could afford a neutral Denmark/Iceland, they couldn’t afford Germany having the control over the North Atlantic that would come from Germany controlling Iceland.
If you want to be a neutral country when there’s a major war in your area, you probably want to provide something useful to at least one, preferably both parties, while also not being threatening or in-the-way to either (Belgium and the Netherlands were both also neutral, but very in-the-way when you’re trying to run troops over flat ground between Germany and France).
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