I have problems starting my application it loads the list of countries but not the other lists

It seems like you have to specifically set the selected index to invoke the listener.

jComboBoxCountries.setModel(...)
jComboBoxCountries.setSelectedIndex(0);

And by selecting a country is charged the list of states but not the list of cities.

I would guess this is the same problem, once you reset the model of the states combobox you would need to select its index as well.

Another approach is to not select a default state or city, but instead prompt the user to select one. Here is some code that uses this approach:

import java.awt.*;
import java.awt.event.*;
import java.util.*;
import javax.swing.*;

public class ComboBoxTwo extends JFrame implements ActionListener
{
    private JComboBox mainComboBox;
    private JComboBox subComboBox;
    private Hashtable subItems = new Hashtable();

    public ComboBoxTwo()
    {
        String[] items = { "Select Item", "Color", "Shape", "Fruit" };
        mainComboBox = new JComboBox( items );
        mainComboBox.addActionListener( this );

        //  prevent action events from being fired when the up/down arrow keys are used
//      mainComboBox.putClientProperty("JComboBox.isTableCellEditor", Boolean.TRUE);
        getContentPane().add( mainComboBox, BorderLayout.WEST );

        //  Create sub combo box with multiple models

        subComboBox = new JComboBox();
        subComboBox.setPrototypeDisplayValue("XXXXXXXXXX"); // JDK1.4
        getContentPane().add( subComboBox, BorderLayout.EAST );

        String[] subItems1 = { "Select Color", "Red", "Blue", "Green" };
        subItems.put(items[1], subItems1);

        String[] subItems2 = { "Select Shape", "Circle", "Square", "Triangle" };
        subItems.put(items[2], subItems2);

        String[] subItems3 = { "Select Fruit", "Apple", "Orange", "Banana" };
        subItems.put(items[3], subItems3);
        mainComboBox.setSelectedIndex(1);
    }

    public void actionPerformed(ActionEvent e)
    {
        String item = (String)mainComboBox.getSelectedItem();
        Object o = subItems.get( item );

        if (o == null)
        {
            subComboBox.setModel( new DefaultComboBoxModel() );
        }
        else
        {
            subComboBox.setModel( new DefaultComboBoxModel( (String[])o ) );
        }
    }

    public static void main(String[] args)
    {
        JFrame frame = new ComboBoxTwo();
        frame.setDefaultCloseOperation( EXIT_ON_CLOSE );
        frame.pack();
        frame.setLocationRelativeTo( null );
        frame.setVisible( true );
     }
}