You would be more likely to have the Address table have foreign key dependencies on the Country and State tables than the other way around. Something like the below shows you one way to create the foreign key reference.
Of course, the fields required for an address change depending on which country you are in; you may need to research the different requirements and adjust the fields accordingly.
CREATE TABLE Country
CountryID INT NOT NULL PRIMARY KEY IDENTITY(1,1)
, CountryName VARCHAR(500) NOT NULL
, CountryCode VARCHAR(10) NOT NULL
CREATE TABLE Addresses
AddressID INT NOT NULL PRIMARY KEY IDENTITY(1,1)
, AddressLine1 VARCHAR(1000) NOT NULL
, AddressLine2 VARCHAR(1000) NULL
, City VARCHAR(20) NOT NULL
, [State] CHAR(2) NOT NULL
, Country INT NOT NULL REFERENCES Country(CountryID)