They're not really connected in the way you're wondering. Releases are controlled in the releases section for the whole project. You make as many as you want there.
Sprints are controlled in individual Scrum boards (so you can have different sprints per-board). You control tickets in the sprint, not releases per sprint. There is a setting to enable parallel sprints, which further allows you to create multiple open sprints per board.
Kanban boards obviously don't use sprints.
I'm oversimplifying this a bit, but you basically just add tickets to sprints, and the tickets have a FixVersion field within them, which is where you select the releases.
*edit* It is possible to set up Jira automation rules to Update the FixVersion field of a ticket whenever you add it to a sprint, but if that's what you're asking, it's going to be a longer explanation.
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