Why has Ethiopia historically been so hard to conquer?

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In terms of colonialism, pretty much strong centralized leadership and an effective modernization of their military which made them just too strong to be worth taking over when there were far easier picking to be had in Africa.
All quotations are from General History of Africa: Volume VII Africa under Colonial Domination 1880-1935 edited by A. Adu Boahen.
Africa was pretty easy pickings for Europeans. "Africa was marked by inter-state and intra-state conflict and rivalry...while Europe could focus her attention militarily almost exclusively on her imperial activities overseas without any distraction at home." (22)
Not only that but the African powers had a massive disadvantage in terms of technology.
"...the overwhelming military and technological superiority that Europe enjoyed over Africa. While Europe was using professional and well-drilled armies, very few African states had established standing armies and fewer still had professional armies." (22)
One of the most important factors was the Brussels Convention of 1890 when "the imperial powers agreed not to sell arms to Africans. This meant that most African armies were armed with their traditional weapons of bows, arrows, spears, etc. or completely outmoded, old and often unserviceable guns, mainly flint-locks or muzzle loading muskets, and had no heavy artillery or navel power power whatsoever." (22) This was during at time when repeating rifles and the Gatling and Maxim guns were being employed.
On to Ethiopia.
Melenik, King of the Shoa, was able to retain good relations with the Italians during the 1880s when they began colonizing. Melenik took control of "the rich regions of Arusi, Harar, Kulo, and Konta to the south and south-east, and Gurage and Wallaga to the south-west." In 1889, he signed the Wuchale treaty, which promised him the right to "import arms and ammunition through Italian territory." (123)
The treaty had a difference in translation that made Melenik and Ethiopia a protectorate, which was ratified by the European powers but not entirely agreed upon. However, "Melenik refused to accept this interpretation and after several years' delay- which he turned to advantage by importing large quantities of firearms, especially from France and Russia, and conquering several provinces, including Kaffa, Wolamo, Sidamo, Bale, and eastern and western Oromo." He denounced the treaty in February of 1893 and at that time was "in possession of 82,000 rifles and twenty-eight cannon." (125)
Fighting would break out between the Italians and Ethiopions in late 1894. "Early in January 1895 the Italians attacked Ras Mangasha in Tigrai and occupied much of that province. Menelik thereupon ordered the mobilization of his military on 17 September, and marched north with a large force which won significant victories at Amba Alagi on 7 December and Makalle at the end of the year. The Italians then fell back on Adowa, where, after a period of inaction, the final battle took place.
Menelik was in a relatively strong position. He had the support of the local population, whose patriotism had been intensified by the fact that the Italians had been expropriating Eritrean land for the settlement of their colonists. The inhabitants were therefore willing to show his troops good paths and report on enemy movements. The Italians, on the other hand, had to face the enmity of the local people, and had no accurate maps; they therefore moved in confusion in an almost unknown country. Menelik's army, moreover, was much larger. It was composed of over 100,000 men with modern rifles, besides others with antique firearms and spears, whereas the invaders had only about 17,000 men, of whom 10,596 were Italian and the rest Eritrean levies. The Italians had some superiority in cannon, but with fifty-six to Menelik's forty this was by no means decisive.
The outcome of the day's fighting at Adowa was a remarkable victory for Menelik, and a complete defeat for his enemies. During the battle, 261 Italian officers, 2918 Italian NCOs and men, and about 2000 askaris, or local troops, were killed...Total Italian casualities amounted to over 40% of the fighting force, which was almost completely routed and lost all its artillery, besides 11,000 rifles.
As a result of Menelik's victory, the Italians agreed on 26 October, to the Peace Treaty of Addis Ababa, which annulled the Treaty of Wachale and recognized the absolute independence of Ethiopia.
The Adowa campaign gave Menelik considerable international prestige. The French and British dispatched diplomatic missions to sign treaties with him, while other embassies arrived from the Sudanese Mahdists, the Sultan of the Ottoman Empire and the Tsar of Russia." (125)
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