import itertools as it

d={('a','b'):2,('a','d'):3,('b','e'):4,('b','f'):5}

d_items=[[k[0],k[1],v] for k,v in d.items()]

new_d=dict((k,dict(tuple(v))) for k,v in it.groupby(d_items,lambda x: x.pop(0)))

print(new_d)

{'a': {'b': 2, 'd': 3}, 'b': {'e': 4, 'f': 5}}