Current semantic segmentation models have achieved great success under the independent and identically distributed (i.i.d.) condition. However, in real-world applications, test data might come from a different domain than training data. Therefore, it is important to improve model robustness against domain differences. This work studies semantic segmentation under the domain generalization setting, where a model is trained only on the source domain and tested on the unseen target domain. Existing works show that Vision Transformers are more robust than CNNs and show that this is related to the visual grouping property of self-attention. In this work, we propose a novel hierarchical grouping transformer (HGFormer) to explicitly group pixels to form part-level masks and then whole-level masks. The masks at different scales aim to segment out both parts and a whole of classes. HGFormer combines mask classification results at both scales for class label prediction. We assemble multiple interesting cross-domain settings by using seven public semantic segmentation datasets. Experiments show that HGFormer yields more robust semantic segmentation results than per-pixel classification methods and flat-grouping transformers, and outperforms previous methods significantly. Code will be available at https://github.com/dingjiansw101/HGFormer.