Learn French: Il s'intéresse à l'Afrique et il y pense souvent. - He is interested in Africa and thinks about it often.

The pronoun y replaces phrases that start with the preposition à (when referring to things or places). Here, the second half of the sentence implies penser à l'Afrique (to think about Africa). Because Africa is a place, the entire phrase à l'Afrique is replaced by y.

If "to think about" is translated here using penser à (which gives us y pense), when do we use penser de?

You use penser à when a person or thing is simply crossing your mind. You use penser de when you are asking for or giving an opinion. If you wanted to ask "What does he think of Africa?" (as in, what is his opinion of it), you would use penser de.

What if he was thinking about a person instead of a continent? Would we still use y?

No. With the verb penser à, if the object is a specific person, you cannot use y. Instead, you keep the preposition à and add a stressed pronoun after the verb. For example, "He thinks about her often" would be Il pense souvent à elle.

Could we use y in the first half of the sentence too?