This snippet gets all categories including it's children, snippet could be easily customized to customize output. Change 'course' in get_terms() to get custom post type of choice.

get_cats_n_child

  <?php

  $parent = get_terms( 'course', 'parent=0&hide_empty=0');
  
  foreach( $parent as $cat_parent ){

    echo '<div class="courses-container" style="float: left; border: 1px solid;">';
    echo '<h2><a href="' . get_term_link( $cat_parent ) . '">'.$cat_parent->name.'</a></h2>';

    $term_id = $cat_parent->term_id;
    $taxonomy_name = 'course';
    $termchildren = get_term_children( $term_id, $taxonomy_name );

    echo '<ul class="course-child">';
    foreach ( $termchildren as $child ) {
      $term = get_term_by( 'id', $child, $taxonomy_name );
      echo '<li><a href="' . get_term_link( $child ) . '">' . $term->name . '</a></li>';
    }
    echo '</ul>';

    echo '</div>';
  }
  
  ?>