I have an SQL query (generated by LINQ to Entities) which is roughly like the following:
SELECT * FROM [mydb].[dbo].[employees]
JOIN [mydb].[dbo].[industry]
Indexing a column doesn't help make the sort faster.
If you want to make your query a lot faster, then reverse the order of your tables. Specifically, list table country first in your joined tables.
The reason why this helps is that the where clause can filter rows from the first table instead of having to make all those joins, then filtering the rows.