Hi  Rezu2215,
Refer below sample.
HTML
<asp:GridView ID="gvCustomers" runat="server" AutoGenerateColumns="false" OnRowDataBound="gvCustomers_RowDataBound">
    <Columns>
        <asp:BoundField DataField="CustomerId" HeaderText="CustomerId" />
        <asp:BoundField DataField="Name" HeaderText="Name" />
        <asp:TemplateField HeaderText="Country">
            <ItemTemplate>
                <asp:DropDownList ID="ddlCountry" runat="server">
                </asp:DropDownList>
            </ItemTemplate>
        </asp:TemplateField>
    </Columns>
</asp:GridView>
Code
C#
protected void Page_Load(object sender, EventArgs e)
{
    if (!this.IsPostBack)
    {
        TestEntities test = new TestEntities();
        var query = (from c in test.Customers select c);
        gvCustomers.DataSource = query;
        gvCustomers.DataBind();
    }
}
protected void gvCustomers_RowDataBound(object sender, GridViewRowEventArgs e)
{
    if (e.Row.RowType == DataControlRowType.DataRow)
    {
        TestEntities test = new TestEntities();
        DropDownList ddlCountry = (DropDownList)e.Row.FindControl("ddlCountry");
        var query = (from c in test.Customers
                        orderby c.CustomerId
                        select new
                        {
                            c.CustomerId,
                            c.Country
                        }).ToList();
        ddlCountry.DataSource = query;
        ddlCountry.DataTextField = "Country";
        ddlCountry.DataValueField = "CustomerId";
        ddlCountry.DataBind();
        ddlCountry.Items.Insert(0, new ListItem("--Select Country--", ""));
    }
}
VB.Net
Protected Sub Page_Load(ByVal sender As Object, ByVal e As EventArgs) Handles Me.Load
    If Not Me.IsPostBack Then
        Dim test As TestEntities = New TestEntities()
        Dim query = (From c In test.Customers Select c)
        gvCustomers.DataSource = query
        gvCustomers.DataBind()
    End If
End Sub
Protected Sub gvCustomers_RowDataBound(ByVal sender As Object, ByVal e As GridViewRowEventArgs)
    If e.Row.RowType = DataControlRowType.DataRow Then
        Dim test As TestEntities = New TestEntities()
        Dim ddlCountry As DropDownList = CType(e.Row.FindControl("ddlCountry"), DropDownList)
        Dim query = (From c In test.Customers Order By c.CustomerId Select New With {c.CustomerId, c.Country
        }).ToList()
        ddlCountry.DataSource = query
        ddlCountry.DataTextField = "Country"
        ddlCountry.DataValueField = "CustomerId"
        ddlCountry.DataBind()
        ddlCountry.Items.Insert(0, New ListItem("--Select Country--", ""))
    End If
End Sub
Screenshot
