Try this,
create procedure spDataset
as
begin
select * from tblCountry
select * from tblCity
end
In CS page
protected void Page_Load(object sender, EventArgs e)
{
connection();
cmd.CommandType=CommandType.StoredProcedure;
cmd = new SqlCommand("spDataset", conn);
da = new SqlDataAdapter(cmd);
da.Fill(ds);
GridView1.DataSource = ds.Tables[0];
GridView1.DataBind();
GridView2.DataSource = ds.Tables[1];
GridView2.DataBind();
}