To get a list of all terms of taxonomy X whose posts are associated to terms from taxonomy Y too, we have to:

1. Get all term IDs for both taxonomies
2. Create a tax query to fetch all posts, because we don’t want to show empty term archives.
3. Format the result in a hierarchical list.

Let’s go!

1. Getting the term IDs is simple:

   get_terms( $taxonomy_name, array( \'fields\' => \'ids\' ) )
   

   We just have to do that two times (for each taxonomy once).

2. The taxonomy query needs a relationship AND to make sure all posts we get are in both taxonomies:

       \'tax_query\'        => array (
           \'relation\' => \'AND\',
           array(
               \'taxonomy\' => $first,
               \'field\'    => \'id\',
               \'terms\'    => get_terms( $first, array( \'fields\' => \'ids\' ) )
           ),
           array(
               \'taxonomy\' => $second,
               \'field\'    => \'id\',
               \'terms\'    => get_terms( $second, array( \'fields\' => \'ids\' ) )
           ),
       ),
   

3. For formatting, we create an array where the terms of the first taxonomy are the keys and the terms of the second taxonomy are the values. Then we build a nested list with plain <ul> elements.

Now the function: I have used tags and categories as taxonomies, just because it was easier to test.

function double_term_tree(
    $post_types = array( \'post\', \'page\' ),
    $first      = \'category\',
    $second     = \'post_tag\'
    )
{
    $query = new WP_Query(
        array (
            \'numberposts\'      => -1,
            \'suppress_filters\' => TRUE,
            \'posts_per_page\'   => -1,
            \'post_type\'        => $post_types,
            \'tax_query\'        => array (
                \'relation\' => \'AND\',
                array(
                    \'taxonomy\' => $first,
                    \'field\'    => \'id\',
                    \'terms\'    => get_terms( $first, array( \'fields\' => \'ids\' ) )
                ),
                array(
                    \'taxonomy\' => $second,
                    \'field\'    => \'id\',
                    \'terms\'    => get_terms( $second, array( \'fields\' => \'ids\' ) )
                ),
            ),
        )
    );

    if ( empty ( $query->posts ) )
        return;

    $result_list = array();
    $output      = \'<ul>\';

    foreach ( $query->posts as $post )
    {
        $first_terms  = get_the_term_list( $post->ID, $first, \'\', \'|\' );
        $second_terms = get_the_term_list( $post->ID, $second, \'\', \'|\' );

        $f_term_array = explode( \'|\', $first_terms );
        $s_term_array = explode( \'|\', $second_terms );

        foreach ( $f_term_array as $f_term )
        {
            if ( ! isset ( $result_list[ $f_term ] ) )
                $result_list[ $f_term ] = array();

            $result_list[ $f_term ] = array_merge( $result_list[ $f_term ], $s_term_array );
        }
    }

    foreach ( $result_list as $k => $v )
    {
        $result_list[ $k ] = array_unique( $v );
        $output           .= "\\n<li>$k\\n\\t<ul>\\n\\t\\t<li>"
            . join( "</li>\\n\\t\\t<li>", array_unique( $v ) )
            . "</li>\\n\\t</ul>\\n</li>";
    }

    $output .= \'</ul>\';

    return $output;
}

You can call this function like this:

echo double_term_tree( \'product\', \'brand\', \'category\' );

And then you get that tree.