I can't speak for Thailand at all, unfortunately, but both Afghanistan and Ethiopia "benefited" (really on if we're talking about retaining political independence) from the fact that they were at the center of regions hotly contested between major powers.

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Afghanistan (along with Iran) was caught between British expansion in the Indian subcontinent and Russian expansion into Central Asia. As Anglo-Russian rivalries grew during the 1800s, Afghanistan was caught up in what became known as the Great Game. The British were afraid of the expanding Russian influence into Central Asia providing them easy access to the mountain passes that would lead the way into Britain's prize colony, and thus spent a great deal of effort to secure these passes. Russian influence in the region started out as a means to secure Trans-Ural regions further north from raids from the Central Asian states to their South, but over the years Russian influence crept closer and closer to British India. Both Russia and Britain made attempts to exert influence over Afghanistan, with the British infamously suffering a heavy defeat during the First Anglo-Afghan War. Ultimately, the British did make Afghanistan a nominal protectorate several decades later following the Second Anglo-Afghan War, but by that point agreements by both Russia and Britain had carefully negotiated borders such that the Russian Empire and British India would not share a land border. The most prominent example of this is the Wakhan Corridor, which remains today as Afghanistan's panhandle separating Pakistan from Tajikistan by a narrow, sparsely inhabited mountain pass.

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Ethiopia was more complicated, as it was the target of the aims of several different powers. The Horn of Africa region became strategically important with the opening of the Suez Canal in 1869, and the region would see European interests beginning to encroach before the canal had even completed. The British overthrew the Ethiopian Emperor Tewodros II with a punitive expedition in the 1860s, setting the stage for Emperor Yohannes IV to seize power. The French would make treaties with Somali and Afar tribes in what is now Djibouti to create French Somaliland, while the British were soon to follow with a larger region to the east in the form of British Somaliland. Even the newly created Kingdom of Italy got involved, setting its sights on the Red Sea coast before the Suez Canal had been completed and setting up a colony in Italian Somaliland.

As the Scramble for Africa took shape, the powers in the region very quickly developed mutually exclusive aims. Though colonial goals were rarely as simple as they're made out to be, the aims were generally explained in terms of uniting existing colonies. The British had their eyes on a Cape-to-Cairo railway, or more generally a north-south corridor of colonies along the continent, the French were hoping for an east-west corridor spanning the southern edge of the Sahara, and the Italians hoped to unite their colonies in Somalia and on the Eritrean coast. Oddly enough, Italy appeared to have the most success for some time. They had been courting a king in northern Ethiopia who would rise to become Emperor Menelik, and following the signing of the Treaty of Wuchale in 1889, Italy appeared to have colonized Ethiopia much the same way other powers had done - the treaty had a clause that declared that Italy was to handle all of Ethiopia's foreign relations. However, the Amharic version of the text had no such clause, and, once Menelik was informed by the British of such while attempting to open diplomatic relations, Ethiopia asserted its independence. Thus began the first Italo-Ethiopian war.

Behind the scenes, though, there was some bigger politics at play. The Italians were a member of the Triple Alliance (with Austria-Hungary and Germany), which was at odds with the Franco-Russian alliance. The French had their own competing interests in the region, while the Russians were eager to undermine the Triple Alliance and assert the claims of "protector of Othrodox Christians" that they so often used to justify intervention in the Balkans and Caucasus. Britain also had their competing claims, but by this point had secured much of their colonial aims elsewhere and were more interested in undermining the threat of Germany. Italy offered a prime target to undermine the Triple Alliance, as their claims on South Tyrol and along the Adriatic made them vulnerable to being courted by other powers that were willing to support those claims. All of these convoluted goals meant that the British pulled behind the Italians to support them in their war (though not very enthusiastically), while the French and Russians came to the support of Menelik's Ethiopia. Russia provided military advisors and, more critically, tens of thousands of modern rifles (Berdans and Mosin Nagants). In addition to this, the Ethiopians were able to leverage the fairly modern equipment they had left over from the years of Italian patronage prior to the war. The ultimate result of the war, the Battle of Adwa, saw the Italians decisively defeated and resulted in a peace that clearly codified both the independence of Ethiopia and its borders as they remain to this day. Though Italy and Britain could largely choke off access to the sea and thus international support through their colonies, French Somaliland would continue to serve as an access point for the outside world after the war, with the French building a railway from Addis Ababa to Djibouti to give the Empire its only access to the sea.