The answer to this question depends to some degree on how long after the Protestant Reformation you are asking about. For example, England remained faithful to the Catholic Church at first, but then broke away some twenty years later. Scotland remained Catholic for some time after England broke away but later became a bastion of Calvinism.
Generally speaking, the largest countries to remain in the Catholic Church were Spain and France. Both of these countries (as well as Portugal) remained mostly Catholic. Various parts of Germany remained Catholic as well under the rule where each ruler (there were many little states in Germany in those days) got to decide which religion his people would follow.
I am assuming this question is regarding the The Reformation?
The countries that remained predominantly Catholic after the typical time periods discussed when studying The Reformation (Martin Luther - Ninety-Five Theses 1517, Henry VIII and the establishment of the Anglican Church of England - 1534 and the resulting Catholic Reformation and The Council of Trent - 1545 - 1563) were Italy, Spain, Portugal, France, Belgium, Ireland, southern Germany, Austria, Poland and Hungary.