Just use the Form Paint method and draw every Picturebox on it, it allows transparency :
private void frmGame_Paint(object sender, PaintEventArgs e)
{
DoubleBuffered = true;
for (int i = 0; i < Controls.Count; i++)
if (Controls[i].GetType() == typeof(PictureBox))
{
var p = Controls[i] as PictureBox;
p.Visible = false;
e.Graphics.DrawImage(p.Image, p.Left, p.Top, p.Width, p.Height);
}
}