Hi Ason,
The battle with USSR should be priority #1 for Germany. However from the above it sounds as if conquering Egypt,Syria,Iraq,Iran and Sudan was your priority first.
I would suggest after the fall of France that you dedicate as many resources as possible for a spring 41' attack on USSR. It is easy to throw your strongest forces at the weaker minor nations, while ignoring the bear in the room (USSR). Doing so will allow USSR too much time to build up (and they will build up). You need to strike them hard and fast and go as deep as possible in 1941, as it will never be easier after that until you feel the tide of war swing ultimately on your side.
Concentrate your firepower (Tanks + Bombers) to take major cities. Avoid leaving your best forces in a slug fest in swampy areas, (immediately south of Leningrad is a great example). Encircling enemies can be hard, but it can be done.
I should add I haven't played a "vanilla" game for over 2 years, I've modded my campaign so much. But the above advice should be a good start.
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PS - You may want to invest more in Air, D-Day is an air war as much as everything else. You seem ill prepared to defend against constant bombarding from UK/USA.