LLM-based multi-agent systems (MAS) have demonstrated strong capabilities in solving complex problems across diverse domains. Recently, the dynamic orchestration of agent systems has become an important research direction. However, existing methods suffer from limited composition, misaligned dependencies, and inflexible scale, restricting their ability to adapt to reasoning requirements during execution. To address these limitations, we reframe MAS design as a partially observable Markov decision process, in which both the composition and scale of the MAS are dynamically determined. We propose DHCG, a novel framework that coordinates three modules (Planner, Worker, and Generator) to progressively construct a dynamic hierarchical collaboration graph from scratch based on the query and evolving execution feedback. At each step, guided by feedback, the Planner generates a set of distinct and complementary roles tailored to the current reasoning needs and selectively routes relevant information to each role. It can also finalize the hierarchical collaboration graph early or progressively expand it when additional reasoning is required. We further introduce action-aware preference optimization to train the Planner to make more effective decisions when constructing hierarchical collaboration graphs. We systematically evaluate DHCG across code generation, mathematical reasoning, and domain-specific reasoning benchmarks. DHCG achieves state-of-the-art average performance among the compared methods, improving over the single-agent baseline by 13.06 points and outperforming both static and dynamic MAS baselines by 2.77-8.02 points. Additional experiments further demonstrate its generalization across different Planner backbones and unseen Worker models.