我建议的解决方案是将两个不同的代理艺术家组合为一个条目图例，如下所述：将两个Pyplot面片合并为图例。
然后，策略是将第一个正方形标记的fillstyle设置为left，而另一个则设置为right（参见http://matplotlib.org/1.3.0/examples/pylab_examples/filledmarker_demo.html）。然后可以将两种不同的颜色归属于每个标记，以便产生所需的双色图例条目。
下面的代码展示了如何做到这一点。请注意，plt.legend中的numpoints=1参数非常重要，以便为每个条目只显示一个标记。

import matplotlib.pyplot as plt

plt.close('all')

#---- Generate a Figure ----

fig = plt.figure(figsize=(4, 4))
ax = fig.add_axes([0.15, 0.15, 0.75, 0.75])
ax.axis([0, 1, 0, 1])

#---- Define First Legend Entry ----

m1, = ax.plot([], [], c='red' , marker='s', markersize=20,
              fillstyle='left', linestyle='none')

m2, = ax.plot([], [], c='blue' , marker='s', markersize=20,
              fillstyle='right', linestyle='none')

#---- Define Second Legend Entry ----

m3, = ax.plot([], [], c='cyan' , marker='s', markersize=20,
              fillstyle='left', linestyle='none')

m4, = ax.plot([], [], c='magenta' , marker='s', markersize=20,
              fillstyle='right', linestyle='none')

#---- Plot Legend ----

ax.legend(((m2, m1), (m3, m4)), ('Foo', 'Foo2'), numpoints=1, labelspacing=2,
          loc='center', fontsize=16)

plt.show(block=False)

其结果是：

**免责声明：**这只适用于双色图例条目。如果需要两种以上的颜色，除了@jwinterm（Python Matplotlib Multi-color Legend Entry）描述的方法之外，我想不出其他方法来实现这一点

也许另一个黑客处理两个以上的补丁。请确保您根据列数对句柄/标签进行排序：

from matplotlib.patches import Patch
import matplotlib.pyplot as plt

fig, ax = plt.subplots()

pa1 = Patch(facecolor='red', edgecolor='black')
pa2 = Patch(facecolor='blue', edgecolor='black')
pa3 = Patch(facecolor='green', edgecolor='black')
#
pb1 = Patch(facecolor='pink', edgecolor='black')
pb2 = Patch(facecolor='orange', edgecolor='black')
pb3 = Patch(facecolor='purple', edgecolor='black')

ax.legend(handles=[pa1, pb1, pa2, pb2, pa3, pb3],
          labels=['', '', '', '', 'First', 'Second'],
          ncol=3, handletextpad=0.5, handlelength=1.0, columnspacing=-0.5,
          loc='center', fontsize=16)

plt.show()

这导致：

我非常喜欢拉斐尔的回答。这是一个带圆圈的版本。此外，我对代码进行了重构和修整，使其更加模块化。

import matplotlib.pyplot as plt
import matplotlib.colors as mcolors

class MulticolorCircles:
    """
    For different shapes, override the ``get_patch`` method, and add the new
    class to the handler map, e.g. via

    ax_r.legend(ax_r_handles, ax_r_labels, handlelength=CONF.LEGEND_ICON_SIZE,
            borderpad=1.2, labelspacing=1.2,
            handler_map={MulticolorCircles: MulticolorHandler})
    """

    def __init__(self, face_colors, edge_colors=None, face_alpha=1,
                 radius_factor=1):
        """
        """
        assert 0 <= face_alpha <= 1, f"Invalid face_alpha: {face_alpha}"
        assert radius_factor > 0, "radius_factor must be positive"
        self.rad_factor = radius_factor
        self.fc = [mcolors.colorConverter.to_rgba(fc, alpha=face_alpha)
                   for fc in face_colors]
        self.ec = edge_colors
        if edge_colors is None:
            self.ec = ["none" for _ in self.fc]
        self.N = len(self.fc)

    def get_patch(self, width, height, idx, fc, ec):
        """
        """
        w_chunk = width / self.N
        radius = min(w_chunk / 2, height) * self.rad_factor
        xy = (w_chunk * idx + radius, radius)
        patch = plt.Circle(xy, radius, facecolor=fc, edgecolor=ec)
        return patch

    def __call__(self, width, height):
        """
        """
        patches = []
        for i, (fc, ec) in enumerate(zip(self.fc, self.ec)):
            patch = self.get_patch(width, height, i, fc, ec)
            patches.append(patch)
        result = PatchCollection(patches, match_original=True)
        #
        return result

class MulticolorHandler:
    """
    """
    @staticmethod
    def legend_artist(legend, orig_handle, fontsize, handlebox):
        """
        """
        width, height = handlebox.width, handlebox.height
        patch = orig_handle(width, height)
        handlebox.add_artist(patch)
        return patch

示例用法和图像，请注意，一些图例句柄具有radius_factor=0.5，因为真实大小太小。

ax_handles, ax_labels = ax.get_legend_handles_labels()
ax_labels.append(AUDIOSET_LABEL)
ax_handles.append(MulticolorCircles([AUDIOSET_COLOR],
                                    face_alpha=LEGEND_SHADOW_ALPHA))
ax_labels.append(FRAUNHOFER_LABEL)
ax_handles.append(MulticolorCircles([FRAUNHOFER_COLOR],
                                    face_alpha=LEGEND_SHADOW_ALPHA))
ax_labels.append(TRAIN_SOURCE_NORMAL_LABEL)
ax_handles.append(MulticolorCircles(SHADOW_COLORS["source"],
                                    face_alpha=LEGEND_SHADOW_ALPHA))
ax_labels.append(TRAIN_TARGET_NORMAL_LABEL)
ax_handles.append(MulticolorCircles(SHADOW_COLORS["target"],
                                    face_alpha=LEGEND_SHADOW_ALPHA))
ax_labels.append(TEST_SOURCE_ANOMALY_LABEL)
ax_handles.append(MulticolorCircles(DOT_COLORS["anomaly_source"],
                                    radius_factor=LEGEND_DOT_RATIO))
ax_labels.append(TEST_TARGET_ANOMALY_LABEL)
ax_handles.append(MulticolorCircles(DOT_COLORS["anomaly_target"],
                                    radius_factor=LEGEND_DOT_RATIO))
#
ax.legend(ax_handles, ax_labels, handlelength=LEGEND_ICON_SIZE,
            borderpad=1.1, labelspacing=1.1,
            handler_map={MulticolorCircles: MulticolorHandler})

实际上有一个正确的方法来实现这个目标，如matplotlib-doc中 “实现自定义图例处理程序” 中所解释的那样：

import matplotlib.pyplot as plt
from matplotlib.collections import PatchCollection

# define an object that will be used by the legend
class MulticolorPatch(object):
    def __init__(self, colors):
        self.colors = colors
        
# define a handler for the MulticolorPatch object
class MulticolorPatchHandler(object):
    def legend_artist(self, legend, orig_handle, fontsize, handlebox):
        width, height = handlebox.width, handlebox.height
        patches = []
        for i, c in enumerate(orig_handle.colors):
            patches.append(plt.Rectangle([width/len(orig_handle.colors) * i - handlebox.xdescent, 
                                          -handlebox.ydescent],
                           width / len(orig_handle.colors),
                           height, 
                           facecolor=c, 
                           edgecolor='none'))

        patch = PatchCollection(patches,match_original=True)

        handlebox.add_artist(patch)
        return patch

# ------ choose some colors
colors1 = ['g', 'b', 'c', 'm', 'y']
colors2 = ['k', 'r', 'k', 'r', 'k', 'r']

# ------ create a dummy-plot (just to show that it works)
f, ax = plt.subplots()
ax.plot([1,2,3,4,5], [1,4.5,2,5.5,3], c='g', lw=0.5, ls='--',
        label='... just a line')
ax.scatter(range(len(colors1)), range(len(colors1)), c=colors1)
ax.scatter([range(len(colors2))], [.5]*len(colors2), c=colors2, s=50)

# ------ get the legend-entries that are already attached to the axis
h, l = ax.get_legend_handles_labels()

# ------ append the multicolor legend patches
h.append(MulticolorPatch(colors1))
l.append("a nice multicolor legend patch")

h.append(MulticolorPatch(colors2))
l.append("and another one")

# ------ create the legend
f.legend(h, l, loc='upper left', 
         handler_map={MulticolorPatch: MulticolorPatchHandler()}, 
         bbox_to_anchor=(.125,.875))

可能不是你想要的，但是你可以手动地在图上放置补丁和文本。例如：

import matplotlib.patches as mpatches
import matplotlib.pyplot as plt

fig, ax = plt.subplots()

red_patch = mpatches.Patch(color='red', label='Foo')
plt.legend(handles=[red_patch])

r1 = mpatches.Rectangle((0.1, 0.1), 0.18, 0.1, fill=False)
r2 = mpatches.Rectangle((0.12, 0.12), 0.03, 0.06, fill=True, color='red')
r3 = mpatches.Rectangle((0.15, 0.12), 0.03, 0.06, fill=True, color='blue')
ax.add_patch(r1)
ax.add_patch(r2)
ax.add_patch(r3)
ax.annotate('Foo', (0.2, 0.13), fontsize='x-large')

plt.show()