By using the below code, we can get customer group multi-select option with the help of system.xml.

We can get all Customer group by system.xml in System -> Configuration Section of admin.

Create system.xml file,
Path, app/code/Magemonkeys/Customer/etc/adminhtml/system.xml

<?xml version="1.0"?>
<config xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:module:Magento_Config:etc/system_file.xsd">
    <system>
        <section id="catalog">
            <group id="customer_group" translate="label" type="text" sortOrder="10" showInDefault="1" showInWebsite="1" showInStore="1">
                <field id="list" translate="label" type="multiselect" sortOrder="3" showInDefault="1" showInWebsite="1" showInStore="0">
                    <label>Customer Groups</label>
                    <source_model>MagemonkeysCustomerModelAdminhtmlSystemConfigSourceCustomerGroup</source_model>
                    <can_be_empty>1</can_be_empty>
                </field>
            </group>
        </section>
    </system>
</config>

You need to get  all customer group using a Model file

Create Group.php file,
Path, app/code/Magemonkeys/Customer/Model/Adminhtml/System/Config/Source/Customer/Group.php

<?php
namespace MagemonkeysCustomerModelAdminhtmlSystemConfigSourceCustomer;

class Group implements MagentoFrameworkOptionArrayInterface
{
    public function __construct(MagentoCustomerModelResourceModelGroupCollectionFactory $groupCollectionFactory)
    {
        $this->_groupCollectionFactory = $groupCollectionFactory;
    }

    /**
     * @return array
     */
    public function toOptionArray()
    {
        if (!$this->_options) {
            $this->_options = $this->_groupCollectionFactory->create()->loadData()->toOptionArray();
        }
        return $this->_options;
    }
}

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