EntityFramework\'s documentation states that the following behavior is possible:
If a foreign key on the dependent entity is nullable, Code First does
After following @Slauma's great answer I was still getting same error as OP.
So don't be as naive as me and think that the examples below will end up with same result.
dbCtx.Entry(principal).State = EntityState.Deleted;
dbCtx.Dependant.Where(d => d.PrincipalId == principalId).Load();
// code above will give error and code below will work on dbCtx.SaveChanges()
dbCtx.Dependant.Where(d => d.PrincipalId == principalId).Load();
dbCtx.Entry(principal).State = EntityState.Deleted;
First load the children into context before setting entity state to deleted (if you are doing it that way).