<Window x:Class="GridTest.TestWindow"
        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
        xmlns:Converter="clr-namespace:GridTest"
        Title="TestWindow" 
        Height="300" 
        Width="300">
    <Window.Resources>
        <Converter:CategoryConverter x:Key="CategoryConverter"/>
    </Window.Resources>
        <Grid>
        <DataGrid Name="_dataGrid" 
                  CanUserAddRows="False" 
                  AutoGenerateColumns="False">
            <DataGrid.Columns>
                <DataGridTemplateColumn Width="*">
                    <DataGridTemplateColumn.CellTemplate>
                        <DataTemplate>
                            <Grid>
                                <Grid.ColumnDefinitions>
                                    <ColumnDefinition/>
                                    <ColumnDefinition/>
                                </Grid.ColumnDefinitions>
                                <ComboBox Grid.Column="0" 
                                          Name="_categories" 
                                          ItemsSource="{Binding Categories}" 
                                          DisplayMemberPath="Name" 
                                          SelectedItem="{Binding SelectedCategory, UpdateSourceTrigger=PropertyChanged, Mode=TwoWay}">
                                </ComboBox>
                                <ComboBox Grid.Column="1" 
                                          SelectedItem="{Binding SelectedSubcategory, Mode=TwoWay, UpdateSourceTrigger=PropertyChanged}" 
                                          DisplayMemberPath="Name">
                                    <ComboBox.ItemsSource>
                                        <MultiBinding Converter="{StaticResource CategoryConverter}">
                                            <Binding Path="Subcategories"/>
                                            <Binding Path="SelectedItem" 
                                                     ElementName="_categories"/>
                                        </MultiBinding>
                                    </ComboBox.ItemsSource>
                                </ComboBox>
                            </Grid>
                        </DataTemplate>
                    </DataGridTemplateColumn.CellTemplate>
                </DataGridTemplateColumn>
            </DataGrid.Columns>
        </DataGrid>
    </Grid>
</Window>

public class CategoryConverter : IMultiValueConverter
    {
        public object Convert(object[] values, Type targetType, object parameter, CultureInfo culture)
        {
            if (values[0] == null) return null;
 
            var subcategories = values[0] as List<Subcategory>;
            if (subcategories == null) return null;
 
            var category = values[1] as Category;
            if (category == null) return subcategories;
 
            return subcategories.Where(g => g.CategoryId == category.Id);
        }
 
        public object[] ConvertBack(object value, Type[] targetTypes, object parameter, CultureInfo culture)
        {
            throw new NotImplementedException();
        }
    }
 
 
    public enum CategoryKinds
    {
        Car = 0,
        Fruit = 1,
    }
 
    public class Category
    {
        public Int32 Id { get; set; }
        public String Name { get; set; }
 
        public override Boolean Equals(object obj)
        {
            var c = obj as Category;
            if (c == null) return false;
 
            return Id == c.Id;
        }
    }
 
    public class Subcategory
    {
        public Int32 Id { get; set; }
        public String Name { get; set; }
        public Int32 CategoryId { get; set; }
 
 
        public override Boolean Equals(object obj)
        {
            var sc = obj as Subcategory;
            if (sc == null) return false;
 
            return Id == sc.Id;
        }
    }
 
    public class DataGridItem 
    {
        public List<Category> Categories { get; set; }
        public Category SelectedCategory { get; set; }
 
        public List<Subcategory> Subcategories { get; set; }
        public Subcategory SelectedSubcategory { get; set; }
 
        public DataGridItem()
        {
            Categories = new List<Category>
            {
                new Category
                {
                    Id = (Int32)CategoryKinds.Car, Name = "Car"
                },
                new Category
                {
                    Id = (Int32)CategoryKinds.Fruit, Name = "Fruit"
                }
            };
 
            Subcategories = new List<Subcategory>
            {
                new Subcategory
                {
                    Id = 1,
                    Name = "Volvo",
                    CategoryId = (Int32) CategoryKinds.Car
                },
                new Subcategory
                {
                    Id = 2,
                    Name = "Nissan",
                    CategoryId = (Int32) CategoryKinds.Car
                },
                new Subcategory
                {
                    Id = 3,
                    Name = "Banana",
                    CategoryId = (Int32)CategoryKinds.Fruit
                },
                new Subcategory
                {
                    Id = 4,
                    Name = "Lemon",
                    CategoryId = (Int32)CategoryKinds.Fruit
                },
            };
        }
    }
 
    /// <summary>
    /// Interaction logic for TestWindow.xaml
    /// </summary>
    public partial class TestWindow : Window
    {
        public List<DataGridItem> GridItems { get; set; }
 
        public TestWindow()
        {
            InitializeComponent();
            DataContext = this;
 
            GridItems = new List<DataGridItem>
            {
                new DataGridItem
                {
                    SelectedCategory = new Category
                    {
                        Id = (Int32)CategoryKinds.Car, Name = "Car"
                    },
                    SelectedSubcategory = new Subcategory
                    {
                        Id = 2,
                        Name = "Nissan",
                        CategoryId = (Int32) CategoryKinds.Car
                    }
                },
                new DataGridItem
                {
                    SelectedCategory = new Category
                    {
                        Id = (Int32)CategoryKinds.Fruit, Name = "Fruit"
                    },
                    SelectedSubcategory = new Subcategory
                    {
                        Id = 4,
                        Name = "Lemon",
                        CategoryId = (Int32) CategoryKinds.Car
                    }
                }
            };
 
            _dataGrid.ItemsSource = GridItems;
        }
    }

GridItems = new List<DataGridItem>
            {
                new DataGridItem(),
                new DataGridItem()
            };
 
            GridItems[0].SelectedCategory = GridItems[0].Categories[0];
            GridItems[0].SelectedSubcategory = GridItems[0].Subcategories[1];
 
            GridItems[1].SelectedCategory = GridItems[1].Categories[1];
            GridItems[1].SelectedSubcategory = GridItems[1].Subcategories[0];