Africa is a lot closer than North America, so it would seem natural for Europeans to go there first.
The simple answer is that prior to the advance brought about by the industrial revolution, the conquest of Africa by non-African was near impossible. The colonization of the Americas was aided by eastern hemisphere diseases that devastated American populations. This destabilized many civilizations who then had to contend with the new comers. In Africa, diseases tended to kill newcomers. Also, militarily much of Africa were on not that far behind European counterparts. After the Battle of Tondibi in 1591, guns and cannons were introduced to West Africa. Many of the wars during the following centuries utilized modern (for the time) weaponry. The industrial revolution provided Europe and the US great leaps when it came to weapons and medicine. The scramble for Africa happened at the exactly the time it became possible to happen. Regions with less well organized military opposition and milder climate such as parts of Souther Africa, saw earlier settlement.