MultiIndex can also be used to create DataFrames with multilevel columns. Just use the columns keyword in the DataFrame command.
midx = pd.MultiIndex(levels=[['zero', 'one'], ['x','y']], labels=[[1,1,0,],[1,0,1,]])
df = pd.DataFrame(np.random.randn(6,4), columns=midx)
In [86]: df
Out[86]:
...