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The Mist Continent is a large, mountainous continent located in the southeast corner of the World Map. It is the largest continent, the most abundant in vegetation and life, and is covered in a mysterious haze known as Mist (hence the continent's name).
It is divided into 3 kingdoms: Alexandria, Burmecia, and Lindblum. Cleyra is technically a sovereign nation, but not really a separate kingdom, just a small part of Burmecia. All 3 nations are separated by large mountain ranges, with access between them limited to small caves or gates, such as South and North Gate.
In terms of size, Alexandria is the largest, and also has the most cities and population (Treno, Dali, and Alexandria). This is where the story begins, and where much of the action in the game takes place. It is ruled by Queen Brahne and Princess Garnet.
Lindblum is next largest, but only has the titular city and a few small locations (Qu's Marsh and Chocobo's Forest) in it's kingdom, since most of it is under the Mist. Lindblum (the city) is the largest on the continent, since it's most of the Lindblum kingdom's populace. It is run by Regent Cid.
Lastly is Burmecia, the kingdom of perpetual rain. It only has Burmecia, a rather small city which is only seen by the team while in ruins, and Cleyra, a surprisingly successful settlement located atop a titanic tree surrounded by a massive sandstorm. This kingdom is the subject of most of Alexandria's brutality in the game, nearly wiping out all Burmecians. It is ruled by the King of Burmecia (name unknown).
The continent is also known for having numerous little islands surrounding it; you can't travel more than a few seconds before seeing another island along the shoreline.