Just as you can organize mailboxes into mail folders, you can organize smart mailboxes into smart mailbox folders.
In a mail window, I had been frustrated by the inability to sort Smart Mailboxes in folders like you can with normal mailboxes, so I had left all my smart mailboxes at the top level of my mailbox folder hierarchy. It turns out that there is a separate command, Mailbox > New Smart Mailbox Folder, which creates a folder that you can use to organize your smart mailboxes. And just like normal mailbox folders, you can nest a smart mailbox folder inside another.
I think the reason I hadn’t seen the New Smart Mailbox Folder command before is that I usually click the buttons at the bottom of a mail window to perform a command instead of looking in the menu bar itself. The New Smart Mailbox Folder command appears only under the Mailbox menu.
UPDATE: Sometimes the New Smart Mailbox Folder command is unavailable. If this happens, you need to select an account under Inbox, and not select Inbox itself. (Selecting Inbox displays messages from all accounts, while selecting an account displays only the messages inside that account.)