<Window x:Class="ComboBox.MainWindow"
        xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
        xmlns:xctk="http://schemas.xceed.com/wpf/xaml/toolkit"
        Title="MainWindow" Height="350" Width="525">
    <Grid>      
        <xctk:PropertyGrid x:Name="_propertyGrid"
                           Margin="2" 
                           AutoGenerateProperties="False" 
                           SelectedObject="{Binding Path=City}">

            <xctk:PropertyGrid.PropertyDefinitions>
                <xctk:PropertyDefinition Name="City_Name" />
                <xctk:PropertyDefinition Name="CountryList" />
            </xctk:PropertyGrid.PropertyDefinitions>

            <xctk:PropertyGrid.EditorDefinitions>

                <xctk:EditorDefinition>
                    <xctk:EditorDefinition.PropertiesDefinitions>
                        <xctk:PropertyDefinition Name="CountryList"/>
                    </xctk:EditorDefinition.PropertiesDefinitions>
                    <xctk:EditorDefinition.EditorTemplate>
                        <DataTemplate>
                            <!--<ComboBox ItemsSource="{Binding Value}" 
                                      DisplayMemberPath="Country_Name" 
                                      SelectedValuePath="Country_GUID"
                                      SelectedIndex="0"
                                      />-->
                            <ComboBox ItemsSource="{Binding Value}" 
                                      DisplayMemberPath="Country_Name" 
                                      SelectedValuePath="Country_GUID"
                                      SelectedValue="ef6c3f62-3fa8-45fe-84ab-f0d898e072c3"
                                      />
                            <!--<ComboBox ItemsSource="{Binding Value}" 
                                      DisplayMemberPath="Country_Name" 
                                      SelectedValuePath="Country_GUID"
                                      SelectedValue="{Binding Country_GUID}"
                                      />-->
                        </DataTemplate>
                    </xctk:EditorDefinition.EditorTemplate>
                </xctk:EditorDefinition>

            </xctk:PropertyGrid.EditorDefinitions>
            
        </xctk:PropertyGrid>

    </Grid>
</Window>

public partial class MainWindow : Window
    {
        public MainWindow()
        {
            InitializeComponent();
            Model m = new Model()
            {
                City = new City()
                {
                    City_Name = "Kuala Lumpur"
                    ,
                    Country_GUID = Guid.Parse("ef6c3f62-3fa8-45fe-84ab-f0d898e072c3")
                }
            };
            this.DataContext = m;
        }

        
    }

    public class Model
    {
        public City City { get; set; }
    }

    public class City
    {
        public string City_Name { get; set; }
        public Guid Country_GUID { get; set; }

        public List<Country> CountryList
        {
            get
            {
                List<Country>  countryList = new List<Country>();
                countryList.Clear();
                countryList.Add(new Country() { Country_GUID = Guid.Parse("ef6c3f62-3fa8-45fe-84ab-f0d898e072c3"), Country_Name = "Malaysia" });
                countryList.Add(new Country() { Country_GUID = Guid.Parse("0fa5d94d-cf61-4807-8377-45209f268d17"), Country_Name = "Singapore" });
                countryList.Add(new Country() { Country_GUID = Guid.Parse("5bd5eea6-26de-40d0-b0bc-5b897c0318df"), Country_Name = "USA" });
                return countryList;
            }
            set{}
        }
    }

    public class Country
    {
        public Guid Country_GUID { get; set; }
        public string Country_Name { get; set; }

        public override string ToString()
        {
            return Country_Name;
        }
    }

PM> Install-Package Extended.Wpf.Toolkit