Put this in the constructor:
SetStyle(ControlStyles.SupportsTransparentBackColor, true);
The class need to enable the transparent style. (For some reason it isn't supported by default).
public class MyControl : System.Windows.Forms.UserControl
{
        public MyControl ()
        {
            // Create visual controls
            InitializeComponent();
            SetStyle(ControlStyles.SupportsTransparentBackColor, true);
        }
}
Or if it's not a custom control:
mycontrolObject.SetStyle(ControlStyles.SupportsTransparentBackColor, true);
More about Control.SetStyle Method
Other Control Styles