Version 1:
You can create your axis, and then use the ax keyword of DataFrameGroupBy.plot to add everything to these axes:
import matplotlib.pyplot as plt
p_df = pd.DataFrame({"class": [1,1,2,2,1], "a": [2,3,2,3,2]})
fig, ax = plt.subplots(figsize=(8,6))
bp = p_df.groupby('class').plot(kind='kde', ax=ax)
This is the result:
Unfortunately, the labeling of the legend does not make too much sense here.
Version 2:
Another way would be to loop through the groups and plot the curves manually:
classes = ["class 1"] * 5 + ["class 2"] * 5
vals = [1,3,5,1,3] + [2,6,7,5,2]
p_df = pd.DataFrame({"class": classes, "vals": vals})
fig, ax = plt.subplots(figsize=(8,6))
for label, df in p_df.groupby('class'):
df.vals.plot(kind="kde", ax=ax, label=label)
plt.legend()
This way you can easily control the legend. This is the result:
