import pandas as pd
df = pd.DataFrame({"animal": ("horse", "horse", "dog", "dog"), "color of fur": ("black", "white", "grey", "black"), "name": ("Blacky", "Wendy", "Rufus", "Catchy")})
mydf = df.set_index(["animal", "color of fur"])
mydf.to_excel("some_path_here.xlsx")