You have to add an .Include call for each level in you object hierarchy tree:
var result = db.Countries
.Include(m => m.Cities)
.Include(m => m.Cities.Select(v => v.People))
.Where(....)
Edit : D.Stanley answer is better in terms of compact code, and works as well, I tend to prefer this syntax in terms of modularity.
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…