I want to transfer all my data from one Salesfoce org to another Salesforce org. Kindly let me know sequence of data import. What object's data shoud i import first?
Your question is too broad.
You should import first parent records and then import the child records.
Like this sequence:
Also, rather than migrating all the data from one sandbox to other, you can think of refreshing a sandbox from the sandbox itself as long as sandbox types are same.
Based on your dependencies and master-detail lookups.
Though generally you always start with Accounts, Contacts and Leads.
Move on to objects that have these as their main relationships, like Cases.
Then you select objects that are related to Cases only, like Case Comments.
You really should be familiar with your current SF org schema to decide the order, as it isn't something standard due to different setups people have.