--======== TEST DATA ==========
IF OBJECT_ID('dbo.ParentRegionList') IS NOT NULL
	DROP TABLE dbo.ParentRegionList;

CREATE TABLE [ParentRegionList](
[RegionID] [int] NOT NULL,
[RegionType] [nvarchar](50) NULL,
[RegionName] [nvarchar](255) NULL,
[ParentRegionID] [int] NULL
)

INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (1,'Continent','Europe',0)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (2,'Continent','North America',0)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (500,'Country','The Netherlands',1)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (501,'Country','Germany',1)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (502,'Country','Belgium',1)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (550,'Country','United States of America',2)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (800,'State','New York',550)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (1000,'City','New York',800)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (1001,'City','Amsterdam',500)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (1002,'City','Rotterdam',500)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (1003,'City','Brussels',502)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (5000,'Neighborhood','Amsterdam Center',1001)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (5001,'Neighborhood','The Pijp',1001)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (10001,'Street','Damrak',5000)
INSERT INTO [ParentRegionList] ([RegionID],[RegionType],[RegionName],[ParentRegionID]) VALUES (10002,'Street','Rue de Brussels',1003)

--SELECT * FROM [ParentRegionList];

--======== SUGGESTED SOLUTION ==========
-- You can use a recursive CTE for this:
DECLARE @RegionID Int = 1001;

;WITH SelectedLocations(RegionID, RegionType, RegionName, HierarchyLevel) AS 
(
    SELECT RegionID, RegionType, RegionName, 0 AS HierarchyLevel
    FROM dbo.ParentRegionList 
    WHERE RegionID = @RegionID
    UNION ALL
    SELECT e.RegionID, e.RegionType, e.RegionName, HierarchyLevel + 1
    FROM dbo.ParentRegionList AS e
        INNER JOIN SelectedLocations d
        ON e.ParentRegionID = d.RegionID 
)
SELECT RegionID, RegionName, HierarchyLevel 
FROM SelectedLocations
ORDER BY RegionID, HierarchyLevel;

/*
In this example the search variable 1 (Europe) has to show all records that are (in)direct (top down) connected to RegionID 1 so:
500 The Netherlands
501 Germany
502 Belgium
1001 Amsterdam
1002 Rotterdam
1003 Brussels
5000 Amsterdam Center
5001 The Pijp
10001 Damrak
10002 Rue de Brussels

In this example the search variable 800 (state new york) has to show all records that are (in)direct (top down) connected to RegionID 800 so:
1000 New York

In this example the search variable 1001 (Amsterdam) has to show all records that are (in)direct (top down) connected to RegionID 1001 so:
5000 Amsterdam Center
5001 The Pijp
10001 Damrak

Does somebody know how to solve this?

Any suggestions are welcome!!
*/

;WITH SearchHierarchy AS (
    SELECT RegionID, RegionName, ParentRegionID
    FROM [ParentRegionList]
    WHERE RegionID = @Search
    UNION ALL
    SELECT a.RegionID, a.RegionName, a.ParentRegionID
    FROM [ParentRegionList] a
    INNER JOIN SearchHierarchy b ON a.ParentRegionID = b.RegionID
    )
SELECT RegionID, RegionName
FROM SearchHierarchy