I am going to the countryside.
Is there any occasion where countryside would be used without "the", so it would go like: I am going to countryside, or something else?
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In general, no. You would never use "countryside" without "the".
If, however, "countryside" is a proper noun, you would.
For example, this nursery is called "Countryside Nursery".
If you are telling someone you are going to this nursery, you would say:
I'm going to Countryside Nursery.
If both you and the person you're speaking to are familiar with this place, you may refer to it with a shorthand version of the name, omitting "Nursery":
John: Which nursery are you going to?
Beth: I'm going to Countryside.
But, as you can see, since it is a proper noun, "Countryside" should be capitalized.