handle column index construction for MultiIndex

Author: arw2019

pandas/core/groupby/generic.py

@@ -1645,8 +1645,12 @@ def _wrap_aggregated_output(
         DataFrame
         """
         indexed_output = {key.position: val for key, val in output.items()}
-        name = self._obj_with_exclusions._get_axis(1 - self.axis).name
-        columns = Index([key.label for key in output], name=name)
+
+        agg_axis = self._obj_with_exclusions._get_axis(1 - self.axis)
+        if isinstance(agg_axis, MultiIndex):
+            columns = Index([key.label for key in output], names=agg_axis.names)
+        else:
+            columns = Index([key.label for key in output], name=agg_axis.name)
 
         result = self.obj._constructor(indexed_output)
         result.columns = columns