Step 1: Understanding the Concept:
Population density is the number of people living per unit area, usually per square kilometre. A continent's density depends on both how many people live there and how large the continent is.
Step 2: Compare the continents.
Asia holds well over half of the world's population on a land area that is much smaller than its population share, because of huge population concentrations in South Asia, East Asia and Southeast Asia. This combination of a huge population on a comparatively compact landmass gives Asia the highest density.
Step 3: Why the other options are wrong:
Africa has a large population but also a very large land area, and much of it (deserts, dense forests) supports few people, so overall density stays lower than Asia's. Europe is smaller and has fewer people overall than Asia. North America has the lowest density among these four, since large parts of Canada and the interior United States are sparsely settled.
Final Answer:
Asia is the most densely populated continent.\[ \boxed{\text{Asia}} \]