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Declare @Parameter1 int;
Declare @Parameter2 int;

DECLARE Cur1 CURSOR FOR
    SELECT Column1 From Table1;

OPEN Cur1
FETCH NEXT FROM Cur1 INTO @Parameter1;
WHILE @@FETCH_STATUS = 0
BEGIN
    PRINT 'Processing Column1: ' + Cast(@Parameter1 as Varchar);
    DECLARE Cur2 CURSOR FOR
        SELECT Column2 FROM Table2 Where Column2 = @Parameter1;
    OPEN Cur2;
    FETCH NEXT FROM Cur2 INTO @Parameter2;
    WHILE @@FETCH_STATUS = 0
    BEGIN
        PRINT 'Found Column2: ' + Cast(@Parameter2 as Varchar);
        FETCH NEXT FROM Cur2 INTO @Parameter2;
    END;
    CLOSE Cur2;
    DEALLOCATE Cur2;
    FETCH NEXT FROM Cur1 INTO @Parameter1;
END;
PRINT 'DONE';
CLOSE Cur1;
DEALLOCATE Cur1;

Reference