Most things have already been said, but I feel that I can add one thing: it is quite common for younger developers to worry about performance a little bit too much up-front, and your question about joining tables seems to go into that direction. This is a software development anti-pattern called 'Premature Optimization'. Try to banish that reflex from your mind :)
One more thing: Do you believe you really need the 'cities' and 'countries' tables? Wouldn't having a 'city' and 'country' column in the departments table suffice for your use cases? E.g. does your application need to list departments by city and cities by country?
