In Okta, find your application then General -> SAML Settings -> Edit -> Next
On the Configure SAML tab you will see an area called SAML Settings. There’s a section titled GROUP ATTRIBUTE STATEMENTS (OPTIONAL). In the Name field add groups, leave the Name format as Unspecified. In the Filter field set the dropdown to Matches regex and add .* in the field if you want all groups. You can filter the groups for example if you want every group with the word WordPress you would use .*WordPress.* Once ready click Next and Finish.
In Auth0, go your connection Connections -> Enterprise -> SAMLP Identity Provider -> Click the play plugin on your connection. This will trigger the user sign in and create the fields on the user. You can view the data in the Auth0 dashboard by finding the user: Users -> select User -> Identity Provider Attributes or you can debug a rule and output the user object. In this case it would user.groups which would contain the information you need.
Identity Provider Attributes only update when a new Auth0 session is needed, you can read more here: User Profile Identity Provider Attributes don't update once created - #2 by jasonagnew