The main method to group work is to assign it to the same area path. Area paths are used to group work items by product, feature, or business areas and to support teams responsible for work assigned to those areas. In addition, you can group work under a parent work item using parent-child links, referred to as a hierarchical grouping.
For a discussion of these two usages and the tools they support, see Configuration and customization of Azure Boards, Area paths, product teams, and portfolio management.