Smilleey

using System;
using System.Collections.Generic;
using System.Data;
using System.Linq;
using System.Windows.Forms;

namespace WindowsFormsApp1
{
    public partial class Form1 : Form
    {
        public List<Country> Countries { get; set; }
        public List<City> Cities { get; set; }

        public Form1()
        {
            InitializeComponent();
            Countries = new List<Country>() { new Country { Name = "Russia" }, new Country { Name = "USA" } };
            Cities = new List<City>() { new City { Name = "Moscow", Country = "Russia" }, new City { Name = "St. Petersburg", Country = "Russia" }, new City { Name = "New York", Country = "USA" }, new City { Name = "Florida", Country = "USA" } };
            comboBox1.DataSource = Countries;
            comboBox1.DisplayMember = "Name";
            comboBox2.DisplayMember = "Name";
        }

        private void comboBox1_SelectedIndexChanged(object sender, EventArgs e)
        {
           comboBox2.DataSource = Cities.Where(x => x.Country == (comboBox1.SelectedValue as Country).Name).ToList();
        }
    }

    public class Country
    {
        public string Name { get; set; }
    }

    public class City
    {
        public string Country { get; set; }
        public string Name { get; set; }
    }
}