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I worked with two guys who ran Sheep farms in Australia. Once at the lunch time they saw a couple squirrels (this was in Sri Lanka) and they were really fascinated by them. They said they don't have squirrels in Australia and I was fascinated by that. A quick Google kind of says there are at least a few still left[1] in Australia.

[1] https://www.environment.gov.au/system/files/pages/a117ced5-9...

New Zealand.

Can confirm. Went on a trip NZ->UK and was fascinated. They're so twitchy, fast and inquisitive, and so furry. They are legitimately as interesting to watch to me as almost any zoo animal.

UK here. I do love squirrels, but trying to feed birds without the squirrels stealing all the nuts and seeds is next to impossible.

Anyone have any suggestions?

The only native mammals in New Zealand are bats and marine mammals.

I've never seen a squirrel in Brazil

There are squirrels in Brazil. They aren't as common as the (about equally sized) marmosets, but they are not all that rare. They are called "caxinguelê" or "serelepe".