Not sure what you're asking: ... "but they use sObjects (list)." I've actually written something like this previously. It goes like this:

<apex:page controller="mycontroller">
	<apex:form id="form">
		<apex:pageBlock>
			<apex:pageBlockSection columns="1">
				<apex:pageBlockSectionItem>
					<apex:outputLabel>Objects</apex:outputLabel>
					<apex:selectList size="1" value="{!currentobject}">
						<apex:selectOptions value="{!objects}"/>
						<apex:actionSupport event="onchange" action="{!loadfields}" reRender="form"/>
					</apex:selectList>
				</apex:pageBlockSectionItem>
				<apex:pageBlockSectionItem>
					<apex:outputLabel>Field</apex:outputLabel>
					<apex:selectList size="1" value="{!currentfield}">
						<apex:selectOptions value="{!fields}"/>
					</apex:selectList>
				</apex:pageBlockSectionItem>
			</apex:pageBlockSection>
		</apex:pageBlock>
	</apex:form>
</apex:page>

public class mycontroller {
	public string currentobject { get; set; }
	public string currentfield { get; set; }
	
	public selectoption[] getobjects() {
		selectoption[] objects = new selectoption[0];
		map<string,schema.sobjecttype> describe = schema.getglobaldescribe();
		for(string objectname:describe.keyset()) {
			objects.add(new selectoption(objectname,describe.get(objectname).getdescribe().getname()));
		}
		return objects;
	}
	
	public selectoption[] getfields() {
		selectoption[] fields = new selectoption[0];
		map<string,schema.sobjecttype> describe = schema.getglobaldescribe();
		if(describe.containskey(currentobject)) {
			map<string,schema.sobjectfield> fieldmap = describe.get(currentobject).getdescribe().fields.getmap();
			for(string fieldname:fieldmap.keyset()) {
				fields.add(new selectoption(fieldname,fieldmap.get(fieldname).getdescribe().getlabel()));
			}
		}
		return fields;
	}
}

This is just an example, but it should work out of the box with minimal fuss.

This helped a lot, Thanks a lot for your time and effort. But on seletion of the object in picklist I am geyying this error message given below:

Return type of an Apex action method must be a PageReference. Found: core.apexpages.el.ApexELResolver$VisualforceArrayList.

   Can you please help me with that?

and there is no !loadfields action in class So I replaced it with GetFields method of yours!!!