I'm quite new to Python in general.

I'm aware that I can create multiple classes in the same .py file, but I'm wondering if I should create each class in its own .py file.

In C# for instance, I would have a class that handles all Database interactions. Then another class that had the business rules.

Is this the case in Python?

No. Typical Python style is to put related classes in the same module. It may be that a class ends up in a module of its own (especially if it's a large class), but it should not be a goal in its own right. And when you do, please do not name the module after the class -- you'll just end up confusing yourself and others about which is which.