These are subcategories. You can see, for example, that the second post on the right is in the “Flex Daily” category, which is one of the subcategories of “Schedules & Zones” on the left.
You create subcategories like categories. The only difference is that you select a parent category.
So, on your categories page, you click the admin wrench to create a new category:
And then you can select a parent category for your category:
