<?php
    $cat = get_terms('category');
    foreach ($cat as $catVal) {
        echo '<h2>'.$catVal->name.'</h2>';
        $postArg = array('post_type'=>'post','posts_per_page'=>-1,'order'=>'desc',
                          'tax_query' => array(
                                                array(
                                                    'taxonomy' => 'category',
                                                    'field' => 'term_id',
                                                    'terms' => $catVal->term_id
                                                )
                        ));

        $getPost = new wp_query($postArg);
        global $post;

        if($getPost->have_posts()){
            echo '<ul>';
                while ( $getPost->have_posts()):$getPost->the_post();
                    echo "<li>".$post->post_title."</li>";
                endwhile;
            echo '</ul>';
        }

    }
?>