Ok, I dug a little further and it seems that my connection string is wrong. With CSV files, you don't specify the actual file name but the directory where it belongs, eg.
var fileName = string.Format("{0}{1}", AppDomain.CurrentDomain.BaseDirectory, "Uploads");
string connectionString = string.Format(@"Provider=Microsoft.Jet.OLEDB.4.0; Data Source={0}; Extended Properties=""text;HDR=YES;FMT=Delimited""", fileName);
OleDbConnection oledbConn = new OleDbConnection(connectionString);
oledbConn.Open();
var cmd = new OleDbCommand("SELECT * FROM [countrylist.csv]", oledbConn);
And you specify the filename in the SelectCommand. What a strange way of doing it. It's working for me now.
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