Group By Multiple Column In LINQ in C#

Books = g.ToList() //Actually this line of is not working

Probably because Books property is type of List<string>, not List<ActualClass>.

Can you please try this query, I added b.Select(bn => bn.BookName).ToList() to extract only names of books:

var books = new List<ActualClass>
{
   new ActualClass { BookName = "A", DateOfIssue = new DateTime(2015, 10, 10, 10, 10, 0), IssuerName = "1" },
   new ActualClass { BookName = "B", DateOfIssue = new DateTime(2015, 10, 10, 10, 10, 0), IssuerName = "1" },
   new ActualClass { BookName = "C", DateOfIssue = new DateTime(2015, 10, 10, 10, 10, 0), IssuerName = "1" },
   new ActualClass { BookName = "D", DateOfIssue = new DateTime(2015, 10, 10, 10, 10, 0), IssuerName = "2" },
   new ActualClass { BookName = "E", DateOfIssue = new DateTime(2015, 10, 10, 12, 10, 0), IssuerName = "2" },
   new ActualClass { BookName = "F", DateOfIssue = new DateTime(2015, 10, 10, 12, 10, 0), IssuerName = "2" }
};

var result = books.GroupBy(x => new { x.IssuerName, x.DateOfIssue })
                .Select(b => new ViewModel
                {
                    Books = b.Select(bn => bn.BookName).ToList(),
                    // Accessing to DateOfIssue and IssuerName from Key.
                    DateOfIssue = b.Key.DateOfIssue,
                    IssuerName = b.Key.IssuerName
                });

I grouped by: x.IssuerName, x.DateOfIssue. I did that by passing anonymous type in GroupBy() with following manner: x => new { x.IssuerName, x.DateOfIssue }.

Now they are in key and you can access to IssuerName and DateOfIssue from KEY in SELECT statement like in following: b.Key.IssuerName and b.Key.DateOfIssue.

if you need to select list of books from group result, you need Books = v.Select(c=>c.BookName).ToList() also note that in case of you have time in issue date time you may need to group by only the date part using EntityFunctions.TruncateTime function. if you only storing date only then you can ignore this function.

var viewmodel  = db.BookIssues.GroupBy(x=>new {IssuerName =x.IssuerName, DateOfIssue=EntityFunctions.TruncateTime(x.DateOfIssue) })
.Select(v=>new ViewModel(){IssuerName =v.Key.IssuerName, DateOfIssue = v.Key.DateOfIssue, Books  = v.Select(c=>c.BookName).ToList() })
.ToList();