diff --git a/qlib/contrib/data/utils/sepdf.py b/qlib/contrib/data/utils/sepdf.py
index 90537471e3..a6a56713e9 100644
--- a/qlib/contrib/data/utils/sepdf.py
+++ b/qlib/contrib/data/utils/sepdf.py
@@ -1,7 +1,7 @@
 # Copyright (c) Microsoft Corporation.
 # Licensed under the MIT License.
 import pandas as pd
-from typing import Dict, Iterable
+from typing import Dict, Iterable, Union
 
 
 def align_index(df_dict, join):
@@ -80,11 +80,30 @@ def _update_join(self):
             self.join = next(iter(self._df_dict.keys()))
 
     def __getitem__(self, item):
+        # TODO: behave more like pandas when multiindex
         return self._df_dict[item]
 
-    def __setitem__(self, item: str, df: pd.DataFrame):
+    def __setitem__(self, item: str, df: Union[pd.DataFrame, pd.Series]):
         # TODO: consider the join behavior
-        self._df_dict[item] = df
+        if not isinstance(item, tuple):
+            self._df_dict[item] = df
+        else:
+            # NOTE: corner case of MultiIndex
+            _df_dict_key, *col_name = item
+            col_name = tuple(col_name)
+            if _df_dict_key in self._df_dict:
+                if len(col_name) == 1:
+                    col_name = col_name[0]
+                self._df_dict[_df_dict_key][col_name] = df
+            else:
+                if isinstance(df, pd.Series):
+                    if len(col_name) == 1:
+                        col_name = col_name[0]
+                    self._df_dict[_df_dict_key] = df.to_frame(col_name)
+                else:
+                    df_copy = df.copy()  # avoid changing df
+                    df_copy.columns = pd.MultiIndex.from_tuples([(*col_name, *idx) for idx in df.columns.to_list()])
+                    self._df_dict[_df_dict_key] = df_copy
 
     def __delitem__(self, item: str):
         del self._df_dict[item]
diff --git a/setup.py b/setup.py
index 527fe19626..8780e8be73 100644
--- a/setup.py
+++ b/setup.py
@@ -78,7 +78,7 @@ def get_version(rel_path: str) -> str:
     "dill",
     "dataclasses;python_version<'3.7'",
     "filelock",
-    "jinja2<3.1.0"  # for passing the readthedocs workflow.
+    "jinja2<3.1.0",  # for passing the readthedocs workflow.
 ]
 
 # Numpy include
diff --git a/tests/misc/test_sepdf.py b/tests/misc/test_sepdf.py
new file mode 100644
index 0000000000..6597ddaabe
--- /dev/null
+++ b/tests/misc/test_sepdf.py
@@ -0,0 +1,54 @@
+# Copyright (c) Microsoft Corporation.
+# Licensed under the MIT License.
+import unittest
+import numpy as np
+import pandas as pd
+from qlib.contrib.data.utils.sepdf import SepDataFrame
+
+
+class SepDF(unittest.TestCase):
+    def to_str(self, obj):
+        return "".join(str(obj).split())
+
+    def test_index_data(self):
+
+        np.random.seed(42)
+
+        index = [
+            np.array(["bar", "bar", "baz", "baz", "foo", "foo", "qux", "qux"]),
+            np.array(["one", "two", "one", "two", "one", "two", "one", "two"]),
+        ]
+
+        cols = [
+            np.repeat(np.array(["g1", "g2"]), 2),
+            np.arange(4),
+        ]
+        df = pd.DataFrame(np.random.randn(8, 4), index=index, columns=cols)
+        sdf = SepDataFrame(df_dict={"g2": df["g2"]}, join=None)
+        sdf[("g2", 4)] = 3
+        sdf["g1"] = df["g1"]
+        exp = """
+        {'g2':                 2         3  4
+        bar one  0.647689  1.523030  3
+            two  1.579213  0.767435  3
+        baz one -0.463418 -0.465730  3
+            two -1.724918 -0.562288  3
+        foo one -0.908024 -1.412304  3
+            two  0.067528 -1.424748  3
+        qux one -1.150994  0.375698  3
+            two -0.601707  1.852278  3, 'g1':                 0         1
+        bar one  0.496714 -0.138264
+            two -0.234153 -0.234137
+        baz one -0.469474  0.542560
+            two  0.241962 -1.913280
+        foo one -1.012831  0.314247
+            two  1.465649 -0.225776
+        qux one -0.544383  0.110923
+            two -0.600639 -0.291694}
+        """
+        self.assertEqual(self.to_str(sdf._df_dict), self.to_str(exp))
+        # self.assertEqual(self.to_str(data.tail()), self.to_str(res))
+
+
+if __name__ == "__main__":
+    unittest.main()