In multi-task learning (MTL), multiple related tasks are learned jointly by sharing information across them. Many MTL algorithms have been proposed to learn the underlying task groups. However, those methods are limited to learn the task groups at only a single level, which may be not sufficient to model the complex structure among tasks in many real-world applications. In this paper, we propose a Multi-Level Task Grouping (MeTaG) method to learn the multi-level grouping structure instead of only one level among tasks. Specifically, by assuming the number of levels to be H, we decompose the parameter matrix into a sum of H component matrices, each of which is regularized with a l2 norm on the pairwise difference among parameters of all the tasks to construct level-specific task groups. For optimization, we employ the smoothing proximal gradient method to efficiently solve the objective function of the MeTaG model. Moreover, we provide theoretical analysis to show that under certain conditions the MeTaG model can recover the true parameter matrix and the true task groups in each level with high probability. We experiment our approach on both synthetic and real-world datasets, showing competitive performance over state-of-the-art MTL methods.