Pandas: add a column to a multiindex column dataframe

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It’s actually pretty simple (FWIW, I originally thought to do it your way):

df['bar', 'three'] = [0, 1, 2]
df = df.sort_index(axis=1)
print(df)

        bar                        baz          
        one       two  three       one       two
A -0.212901  0.503615      0 -1.660945  0.446778
B -0.803926 -0.417570      1 -0.336827  0.989343
C  3.400885 -0.214245      2  0.895745  1.011671

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