Sorry, it is not too easy to implement and may require not standard K2 extrafields configuration.
Please, try to read the following for better understand it.
You can implement it with two ways:
1) For implement field connection, it is require to create
one parent extrafield (we just call it as parent, k2 hasn't this feature)
and several child extrafields based on parent extrafield values.
E.g. Create parent extrafield with name "Countries" and values USA,
Australia. All extrafields should be drop-down select box type.
Then you need to create children extrafields depends on "Counties"
extrafield values: e.g. extrafield with name "USA cities" and values "City 1",
"City 2", extrafield with name "Australia cities" and values "City 3", "City 4".
It is depens on "Counties" extrafield values, because you should use two
parts in extrafield name: first - value from "Counties" extrafield (e.g "USA"),
second - field connection marker (e.g. "cities"). Then in the module parameter
"Select extrafield" select all extrafields that you created (parent and all childrens) and in
"Connected extrafield" parameter enter "Counties=>cities". After that it should work.
2) Also, you can make field connection in 'Single=>Single' mode.
In this case, you can use just one extrafield for all available children values.
All the values should contain parent field value text.
Feel free to ask any question through the contact form. Good luck!