In your migration class, pass the country value (two-letter ISO country code) as the primary value (i.e., mapped directly to the field itself), and map other address values to the following subfields:
administrative_area - The "administrative area" (that is, state or province) of the address.
sub_administrative_area - The sub-administrative area of the address.
locality - The locality (city/town/village) of the address.
dependent_locality - The dependent locality of this address.
postal_code - The postal code of the address.
thoroughfare - The thoroughfare (street address).
premise - The premise (such as apartment or suite number) of the address.
sub_premise - The sub-premise of the address.
organisation_name - Contents of a primary OrganisationName element in the xNL XML.
name_line - Contents of a primary NameLine element in the xNL XML.
first_name - Contents of the FirstName element of a primary PersonName element in the xNL XML.
last_name - Contents of the LastName element of a primary PersonName element in the xNL XML.
data - Additional data for this address.
For example:
$this->addFieldMapping('field_address', 'profile_country');
$this->addFieldMapping('field_address:thoroughfare', 'profile_address');
$this->addFieldMapping('field_address:locality', 'profile_city');
$this->addFieldMapping('field_address:administrative_area', 'profile_state');
Note that for Migrate versions of 2.5 or earlier, you will need to install and enable the Migrate Extras module to do this.