Two comboboxes in connection

You could do something like in the Form_Load() method, populate all the countries from
the database into a comboBox1 and on any country selection in comboBox1, get all the cities from the database for that selected country and populate them into another comboBox2.

private void Form1_Load(object sender, EventArgs e)
{
    //Get Countries from the database and load them into ComboBox1.

    //comboBox1.DataSource = MyCountryDataTable;
           
}

private void comboBox1_SelectedIndexChanged(object sender, EventArgs e)
{
    if (comboBox1.SelectedItem.ToString() != string.Empty)
    {
        //Fistly clear the old contents of the another ComboBox
        comboBox2.DataSource = null;

        //Get cities Data from the database for the selected country
        // and load all the cities into another ComboBox2 in the following way

        //comboBox2.DataSource = MyCityDataTable;
    }
}