based on the code from Comments
ddlstate.Items.Insert(0, new ListItem("---Select State---", "0"));
if (ddlstate.SelectedValue == "0")
{
ddlcity.Items.Clear();
ddlcity.Items.Insert(0,new ListItem("---Select City---","0"));
}
in line 1 you are inserting a value at 0th index, which will be selected by default
in line 2 you are checking the selected value is equals 0, of course it will be 0 only, it will pass inside the condition
in line 3 it will clear all the items in ddlcity
ultimately your ddlstate will be empty,
Solution:
if (ddlCountry.SelectedValue == "0")