First of all, you should build a UserControl as a container for all your objects: it'd make everything simpler (the one I'm using here is actually a UserControl, modified to comply with your current setup).
When a Control other than the PictureBox is interacted with, you can decide whether you want to trigger a similar action on the main Control or perform a different action based on what event has been generated.
▶ When the Mouse Pointer enters you assembled Control, you want to change the default Cursor: then, when one of the Labels raises the Enter event, call the method of the main Control that handles this. An event handler is a method, you can call it.
▶ When a Label is clicked, you don't want to trigger the related action of the main Control: in this case, there's nothing to do, just handle this event and perform the required action.
▶ The Label should be child of the main Control. You're using a PictureBox, which is not a ContainerControl. You can add child controls to it anyway. You need to do this in code, since - as mentioned - the PictureBox is not designed to host Controls, thus you cannot drop one inside it: the Control you drop will be parented with the Container that hosts the PictureBox (your Form, here).
When you set the parent in code, you need to remember that the Location of the child control is relative to the old Parent, so you have to re-define it's position.
E.g: PictureBox.Bounds = (100, 100, 100, 200) / Label.Bounds = (100, 250, 100, 50)
When the PictureBox becomes Parent of your Label, the Label.Location is still (100, 250): so, now, it will be hidden, since it's outside the visible bounds of its new Parent. You have to reposition it in relation to the new host: its new Location should be (0, 150), to keep the previous relative position.
PictureBox.Control.Add(Label);
//[...]
Label.Location = new Point(Label.Left - PictureBox.Left, Label.Top - PictureBox.Top);
=> Label.Location = (100 - 100, 250 - 100) => (0, 150)
Or, centered horizontally:
Label.Location = new Point((PictureBox.Width - Label.Width) / 2, Label.Top - PictureBox.Top);
=> Label.Location = ((100 - 100) / 2, 250 - 100) => (0, 150) // <- Since both have the same Width
Or, using positions relative to the Screen:
var p = Label.PointToScreen(Point.Empty); // Relative to the ClientRectangle (Top/Left = (0, 0))
PictureBox.Controls.Add(Label);
Label.Location = PictureBox.PointToClient(p);
In any case, call BringToFront() after, to ensure that the new child Control is brought on top and anchor the Control, so it will keep its position and its Width will be bound to the Parent Width:
Label.BringToFront();
Label.Anchor = AnchorStyles.Left | AnchorStyles.Bottom | AnchorStyles.Right;
Now, assuming you want to change the Cursor to Cursors.Hand when the Mouse enters your combined Control and reset to default when it leaves it:
▶ You want the Cursor to change shape in any case.
▶ You want to generate different actions when the PictureBox is clicked and when one of the Labels is clicked.
▶ Both Labels can have distinct actions when clicked.

→ In the visual sample, the Label above the PictureBox is named lblTitle, the Label inside the PictureBox, at the bottom, is named lblFooter.
→ The PictureBox is named ImageView.
Setup the handlers:
NOTE: With a UserControl, the events handling, e.g., in relation to MouseEnter, changes in:
// The Parent's MouseEnter calls OnMouseEnter
protected override void OnMouseEnter(EventArgs e)
{
base.OnMouseEnter(e);
this.Cursor = Cursors.Hand;
}
// Child Controls just call the same method
private void Labels_MouseEnter(object sender, EventArgs e) => OnMouseEnter(e);
public Form1()
{
InitializeComponent();
Point p = lblFooter.PointToScreen(Point.Empty);
ImageView.Controls.Add(lblFooter);
lblFooter.Location = ImageView.PointToClient(p);
ImageView_MouseEnter += ImageView_MouseEnter;
ImageView_MouseLeave += ImageView_MouseLeave;
// Not added in the code here, do whatever is needed with this handler
ImageView_Click += ImageView_Click;
lblFooter.MouseEnter += Labels_MouseEnter;
lblFooter.MouseLeave += Labels_MouseLeave;
lblFooter.MouseClick += lblFooter_MouseClick;
lblTitle.MouseEnter += Labels_MouseEnter;
lblTitle.MouseLeave += Labels_MouseLeave;
lblTitle.MouseDown += lblTitle_MouseDown;
lblTitle.MouseUp += lblTitle_MouseUp;
}
private void ImageView_MouseEnter(object sender, EventArgs e) => this.Cursor = Cursors.Hand;
private void ImageView_MouseLeave(object sender, EventArgs e) => this.Cursor = Cursors.Default;
private void Labels_MouseEnter(object sender, EventArgs e)
{
ImageView_MouseEnter(ImageView, e);
// [...]
// Do stuff related to the Labels Enter event
}
private void Labels_MouseLeave(object sender, EventArgs e) {
ImageView_MouseLeave(ImageView, e);
}
private void lblTitle_MouseDown(object sender, MouseEventArgs e) {
// Perform actions when the Mouse button is held down lblTitle
}
private void lblTitle_MouseUp(object sender, MouseEventArgs e) {
// Perform actions when the Mouse button is released
}
private void lblFooter_MouseClick(object sender, MouseEventArgs e) {
// Perform actions on a Mouse Click event on lblFooter
}