Hi  sanvi,
Refer below sample.
Database
For this example I have used of Northwind database that you can download using the link given below.
Download Northwind Database
HTML
<table border="0" cellpadding="0" cellspacing="0">
    <tr>
        <td valign="top">
            <asp:GridView runat="server" ID="gvCustomers" AutoGenerateColumns="false">
                <Columns>
                    <asp:BoundField DataField="CustomerId" HeaderText="Id" />
                    <asp:BoundField DataField="ContactName" HeaderText="Name" />
                    <asp:BoundField DataField="City" HeaderText="City" />
                    <asp:BoundField DataField="Country" HeaderText="Country" />
                </Columns>
            </asp:GridView>
        </td>
        <td valign="top">
            <asp:GridView runat="server" ID="gvCustomers1" AutoGenerateColumns="false">
                <Columns>
                    <asp:BoundField DataField="CustomerId" HeaderText="Id" />
                    <asp:BoundField DataField="ContactName" HeaderText="Name" />
                    <asp:BoundField DataField="City" HeaderText="City" />
                    <asp:BoundField DataField="Country" HeaderText="Country" />
                </Columns>
            </asp:GridView>
        </td>
    </tr>
</table>
Code
C#
protected void Page_Load(object sender, EventArgs e)
{
    if (!this.IsPostBack)
    {
        NorthwindEntities entity = new NorthwindEntities();
        //Sub query.
        var ids = entity.Customers.Where(x => x.Country == "USA").Select(x => x.CustomerID).ToList();
        var query = entity.Customers.Where(x => ids.Contains(x.CustomerID)).ToList();
        gvCustomers.DataSource = query;
        gvCustomers.DataBind();
        //Sub sub query.
        var countries = entity.Customers.Where(x => x.Country == "USA").ToList();
        ids = countries.Where(x => x.City != "Portland").Select(x => x.CustomerID).ToList();
        query = entity.Customers.Where(x => ids.Contains(x.CustomerID)).ToList();
        gvCustomers1.DataSource = query;
        gvCustomers1.DataBind();
    }
}
VB.Net
Protected Sub Page_Load(ByVal sender As Object, ByVal e As EventArgs) Handles Me.Load
    If Not Me.IsPostBack Then
        Dim entity As NorthwindEntities = New NorthwindEntities()
        Dim ids = entity.Customers.Where(Function(x) x.Country = "USA").[Select](Function(x) x.CustomerID).ToList()
        Dim query = entity.Customers.Where(Function(x) ids.Contains(x.CustomerID)).ToList()
        gvCustomers.DataSource = query
        gvCustomers.DataBind()
        Dim countries = entity.Customers.Where(Function(x) x.Country = "USA").ToList()
        ids = countries.Where(Function(x) x.City <> "Portland").[Select](Function(x) x.CustomerID).ToList()
        query = entity.Customers.Where(Function(x) ids.Contains(x.CustomerID)).ToList()
        gvCustomers1.DataSource = query
        gvCustomers1.DataBind()
    End If
End Sub
Screenshot
