Step 1: Recall where the bridge is located.
Kosi Rail Mahasetu was built over the Kosi river in Bihar.
Step 2: Recall its strategic significance.
It strengthened rail connectivity in the Mithilanchal region near an international border.
Step 3: Confirm the two countries it connects.
The bridge lies along the India-Nepal border region.
\[ \boxed{\text{India-Nepal}} \]