You can try Linq:
// Easiest, but not thread safe
private static Random s_Generator = new Random()
...
int outerCount = 3; // 3 groups
int innerCount = 3; // each group has 3 items
int[][] randoms = Enumerable
.Range(0, outerCount)
.Select(x => Enumerable
.Range(0, innerCount)
.Select(y => s_Generator.Next(1, 10)) // let randoms be in [1..9] range
.ToArray())
.ToArray();
Test:
string report = string.Join(" ", randoms
.Select(item => "{" + string.Join(",", item) + "}"));
Console.Write(report);
Outcome (may differ from run to run since we output random numbers):
{7,4,5} {1,7,4} {6,5,6}