Anonymous group setup across multiple domains has its practical uses in the context where members from different domains need to group together to accomplish certain tasks while keeping their identities secret until the group setup succeeds. To this end, our paper proposes a new group formation scheme named Anonymous Group Setup (AGS) in anonymous communication. It allows the members from multiple domains to group together without disclosing their identity information to others. The group founder can only reveal their identities after the group setup succeeds. If the group setup fails due to the lack of participation of members from any domains, then their identities remain hidden. Moreover, it supports a dynamic domain division without incurring significant system cost, which implicates the domains can be redefined and the members can be associated with different domains at different times during the group setups. In the end, we give security analysis and provide performance evaluation of AGS through simulation.