Step 1: Identify the Khyber Pass.
The Khyber Pass is a famous mountain pass in the Hindu Kush range, historically one of the most important trade and invasion routes in South Asia.
Step 2: Locate it on the map.
The pass runs along the border of the Khyber Pakhtunkhwa region of Pakistan and the Nangarhar province of Afghanistan, sitting directly on their shared international border.
Step 3: Eliminate wrong options.
Nepal and Bangladesh do not share a border with Pakistan, so options 2, 3, and 4 are all incorrect.
\[ \boxed{\text{Pakistan and Afghanistan}} \]