A custom WordPress TinyMCE v4 configuration with styles (now called "Formats") drop down menu and submenus.

wp-tinyMCE4.php

<?php

/**
 * TinyMCE v4 Config
 * 
 * A custom WordPress TinyMCE v4 configuration with styles (now called "Format") drop down menu with submenus. 
 * 
 * style_formats: http://www.tinymce.com/wiki.php/Configuration:style_formats
 *
 */

function my_theme_add_editor_styles() {
    add_editor_style('/assets/css/tinyMCE.css');
}
add_action( 'init', 'my_theme_add_editor_styles' );


// Callback function to insert 'styleselect' into the $buttons array
function my_mce_buttons_2( $buttons ) {
  array_unshift( $buttons, 'styleselect' );
  return $buttons;
}
// Register our callback to the appropriate filter
add_filter('mce_buttons_2', 'my_mce_buttons_2');

 // Remove from first row
function remove_tinymce_buttons1($buttons) {
  // strikethrough, hr, underline, aligncenter, alignright, forecolor, charmap, outdent, indent
  $remove = array();
  return array_diff($buttons,$remove);
 }
add_filter('mce_buttons','remove_tinymce_buttons1');

// Remove from second row
function remove_tinymce_buttons2($buttons) {
  // underline, alignjustify, forecolor, charmap, outdent, indent
  $remove = array();
  return array_diff($buttons,$remove);
 }
add_filter('mce_buttons_2','remove_tinymce_buttons2');

// Callback function to filter the MCE settings
function my_mce_before_init_insert_formats( $init_array ) {
  // Define the style_formats array
  $style_formats = array(
      array(
        'title' => 'Headers',
        'items' => array(
          array( 'title' => 'Heading', 'block' => 'h2',),
          array( 'title' => 'Subheading', 'block' => 'h3'),
          array( 'title' => 'Section Default', 'selector' => 'h1, h2, h3, h4', 'classes' => 'section-header-default'),
          array( 'title' => 'Section Orange', 'selector' => 'h1, h2, h3, h4', 'classes' => 'section-header-orange'),
          array( 'title' => 'Section Blue', 'selector' => 'h1, h2, h3, h4', 'classes' => 'section-header-blue'),
          array( 'title' => 'Section Green', 'selector' => 'h1, h2, h3, h4', 'classes' => 'section-header-green'),
          array( 'title' => 'Section Purple', 'selector' => 'h1, h2, h3, h4', 'classes' => 'section-header-purple'),
        ),
      ),
      array(
        'title' => 'Blocks',
        'items' => array(
          array( 'title' => 'p', 'block' => 'p'),
          array( 'title' => 'div', 'block' => 'div'),
          array( 'title' => 'pre', 'block' => 'pre'),
        ),
      ),
      array(
        'title' => 'Inline',
        'items' => array(
          array( 'title' => 'large', 'inline' => 'span', 'classes' => 'text-large'),
          array( 'title' => 'small', 'inline' => 'span', 'classes' => 'text-small'),
          array( 'title' => 'uppercase', 'inline' => 'span', 'styles' => array('text-transform' => 'uppercase')),
          array( 'title' => 'lowercase', 'inline' => 'span', 'styles' => array('text-transform' => 'lowercase')),
          array( 'title' => 'highlight', 'inline' => 'span', 'styles' => array('background-color' => 'yellow')),
        ),
      ),
      array(
        'title' => 'Text Color',
        'items' => array(
          array( 'title' => 'Blue', 'inline' => 'span', 'classes' => 'color-blue'),
          array( 'title' => 'Blue Dark', 'inline' => 'span', 'classes' => 'color-bluedark'),
          array( 'title' => 'Red', 'inline' => 'span', 'classes' => 'color-red'),
          array( 'title' => 'Green', 'inline' => 'span', 'classes' => 'color-green'),
          array( 'title' => 'Purple', 'inline' => 'span', 'classes' => 'color-purple'),
          array( 'title' => 'Brown', 'inline' => 'span', 'classes' => 'color-brown'),
        ),
      ),
      array(
        'title' => 'Buttons',
        'items' => array(
          array( 'title' => 'Button', 'inline' => 'a', 'classes' => 'btn btn-primary'),
          array( 'title' => 'Large', 'selector' => 'a, button', 'classes' => 'btn-lg'),
          array( 'title' => 'Small', 'selector' => 'a, button', 'classes' => 'btn-sm'),
          array( 'title' => 'Extra Small', 'selector' => 'a, button', 'classes' => 'btn-xs'),
          array( 'title' => 'Block', 'selector' => 'a, button', 'classes' => 'btn-block'),
        ),
      ),
    );

  // Insert the array, JSON ENCODED, into 'style_formats'
  $init_array['block_formats'] = "Heading=h2;Subheading=h3;Paragraph=p";
  $init_array['style_formats'] = json_encode( $style_formats );

  return $init_array;

}

// Attach callback to 'tiny_mce_before_init'
add_filter( 'tiny_mce_before_init', 'my_mce_before_init_insert_formats' );

Here's a screenshot: