Cascading ComboBox in Windows Forms (WinForms) application using C# .Net

Here I have created sample that full-fill you requirement.

C#

private void Form1_Load(object sender, EventArgs e)
{
    cmbState.Enabled = false;
    cmbCity.Enabled = false;
    string strQuery = "select CountryId, CountryName from Countries";
    cmbCountry.ValueMember = "CountryId";
    cmbCountry.DisplayMember = "CountryName";
    cmbCountry.DataSource = GetData(strQuery, null).Tables[0];            
}

private void cmbCountry_SelectedIndexChanged(object sender, EventArgs e)
{
           
        string strQuery = "select StateId, StateName from States where CountryID=@CountryID";
        SqlParameter[] sqlParameter = new SqlParameter[1];
        sqlParameter[0] = new SqlParameter("@CountryID", cmbCountry.SelectedValue);
        cmbState.Enabled = true;
        cmbState.DisplayMember = "StateName";
        cmbState.ValueMember = "StateId";
        cmbState.DataSource = this.GetData(strQuery, sqlParameter).Tables[0];
                
}

private void cmdState_SelectedIndexChanged(object sender, EventArgs e)
{
        string strQuery = "SELECT CityId, CityName FROM Cities WHERE StateId=@StateId";
        SqlParameter[] sqlParameter = new SqlParameter[1];
        sqlParameter[0] = new SqlParameter("@StateId", cmbState.SelectedValue);
        cmbCity.Enabled = true;
        cmbCity.DisplayMember = "CityName";
        cmbCity.ValueMember = "CityId";
        cmbCity.DataSource = this.GetData(strQuery, sqlParameter).Tables[0];
}

private DataSet GetData(string query, SqlParameter[] sqlParameter)
{
    string strConnString = ConfigurationManager.ConnectionStrings["conString"].ConnectionString;
    SqlConnection con = new SqlConnection(strConnString);
    DataSet ds = new DataSet();
    SqlCommand cmd = new SqlCommand(query, con);
    if (sqlParameter != null)
    {
        cmd.Parameters.AddRange(sqlParameter);
    }
    SqlDataAdapter da = new SqlDataAdapter(cmd);
    da.Fill(ds);
    return ds;
}

Screenshot