If you don't mind using a little bit of JavaScript - you can do it by using SPServices library that does just that.
There is SPCascadeDropdowns function that does what you want.
Here is an example:
<script language="javascript" type="text/javascript" src="../../jQuery%20Libraries/jquery-1.8.2.js"></script>
<script language="javascript" type="text/javascript" src="../../jQuery%20Libraries/jquery.SPServices-0.7.2.min.js"></script>
<script language="javascript" type="text/javascript">
$(document).ready(function() {
$().SPServices.SPCascadeDropdowns({
relationshipList: "Regions",
relationshipListParentColumn: "Country",
relationshipListChildColumn: "Title",
CAMLQuery: "<Eq><FieldRef Name='Status'/><Value Type='Text'>Active</Value></Eq>", parentColumn: "Country",
childColumn: "Region",
debug: true
});
$().SPServices.SPCascadeDropdowns({
relationshipList: "States",
relationshipListParentColumn: "Region_x0020_Name",
relationshipListChildColumn: "Title",
relationshipListSortColumn: "ID",
parentColumn: "Region",
childColumn: "State"
});
});
</script>
There are a lot of settings so it's better just to look through all possible options in the documentation page.
Update:
For this to work, you need to add a Content Editor Web Part (CEWP) to the "NewForm.aspx".