Brent Ozar digs into multi-column statistics:
The short answer: in the real world, only the first column works. When SQL Server needs data about the second column, it builds its own stats on that column instead (assuming they don’t already exist), and uses those two statistics together – but they’re not really correlated.
For the longer answer, let’s take a large version of the Stack Overflow database, create a two-column index on the Users table, and then view the resulting statistics:
Click through for a dive into row estimation when you have multiple columns in a WHERE clause and how statistics come into play.