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Sometimes the word "state" means an independent, sovereign nation such as France, Germany, Italy, the US, People's Republic of China, etc. If you use that meaning for "state" then a country and a state are the same thing (in most cases)

Sometimes the word "state" means a semi-sovereign constituent member of a political union. For example, the State of Arizona is a part of the country called the United States of America. It has some elements of sovereignty on its own, because of the way the United States was formed, but it is not an independent sovereign entity.

Occasionally, the terminology is reverse. For example, The United Kingdom is considered to be a Sovereign State consisting of separate countries - England, Scotland, Wales and Northern Ireland.

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