diff --git a/src/dvclive/xgb.py b/src/dvclive/xgb.py
index 0c158a92..daf30a2e 100644
--- a/src/dvclive/xgb.py
+++ b/src/dvclive/xgb.py
@@ -1,5 +1,6 @@
 # ruff: noqa: ARG002
 from typing import Optional
+from warnings import warn
 
 from xgboost.callback import TrainingCallback
 
@@ -8,18 +9,29 @@
 
 class DVCLiveCallback(TrainingCallback):
     def __init__(
-        self, metric_data, model_file=None, live: Optional[Live] = None, **kwargs
+        self,
+        metric_data: Optional[str] = None,
+        model_file=None,
+        live: Optional[Live] = None,
+        **kwargs,
     ):
         super().__init__()
+        if metric_data is not None:
+            warn(
+                "`metric_data` is deprecated and will be removed",
+                category=DeprecationWarning,
+                stacklevel=2,
+            )
         self._metric_data = metric_data
         self.model_file = model_file
         self.live = live if live is not None else Live(**kwargs)
 
     def after_iteration(self, model, epoch, evals_log):
-        for key, values in evals_log[self._metric_data].items():
-            if values:
-                latest_metric = values[-1]
-            self.live.log_metric(key, latest_metric)
+        if self._metric_data:
+            evals_log = {"": evals_log[self._metric_data]}
+        for subdir, data in evals_log.items():
+            for key, values in data.items():
+                self.live.log_metric(f"{subdir}/{key}" if subdir else key, values[-1])
         if self.model_file:
             model.save_model(self.model_file)
         self.live.next_step()
diff --git a/tests/test_frameworks/test_xgboost.py b/tests/test_frameworks/test_xgboost.py
index 178a02a2..43c8edee 100644
--- a/tests/test_frameworks/test_xgboost.py
+++ b/tests/test_frameworks/test_xgboost.py
@@ -1,8 +1,10 @@
 import os
+from contextlib import nullcontext
 
 import pytest
 
 from dvclive import Live
+from dvclive.plots.metric import Metric
 from dvclive.utils import parse_metrics
 
 try:
@@ -10,6 +12,7 @@
     import pandas as pd
     import xgboost as xgb
     from sklearn import datasets
+    from sklearn.model_selection import train_test_split
 
     from dvclive.xgb import DVCLiveCallback
 except ImportError:
@@ -29,24 +32,52 @@ def iris_data():
     return xgb.DMatrix(x, y)
 
 
-def test_xgb_integration(tmp_dir, train_params, iris_data, mocker):
-    callback = DVCLiveCallback("eval_data")
+@pytest.fixture()
+def iris_train_eval_data():
+    iris = datasets.load_iris()
+    x_train, x_eval, y_train, y_eval = train_test_split(
+        iris.data, iris.target, random_state=0
+    )
+    return (xgb.DMatrix(x_train, y_train), xgb.DMatrix(x_eval, y_eval))
+
+
+@pytest.mark.parametrize(
+    ("metric_data", "subdirs", "context"),
+    [
+        (
+            "eval",
+            ("",),
+            pytest.warns(DeprecationWarning, match="`metric_data`.+deprecated"),
+        ),
+        (None, ("train", "eval"), nullcontext()),
+    ],
+)
+def test_xgb_integration(
+    tmp_dir, train_params, iris_train_eval_data, metric_data, subdirs, context, mocker
+):
+    with context:
+        callback = DVCLiveCallback(metric_data)
     live = callback.live
     spy = mocker.spy(live, "end")
+    data_train, data_eval = iris_train_eval_data
     xgb.train(
         train_params,
-        iris_data,
+        data_train,
         callbacks=[callback],
         num_boost_round=5,
-        evals=[(iris_data, "eval_data")],
+        evals=[(data_train, "train"), (data_eval, "eval")],
     )
     spy.assert_called_once()
 
     assert os.path.exists("dvclive")
 
     logs, _ = parse_metrics(callback.live)
-    assert len(logs) == 1
-    assert len(list(logs.values())[0]) == 5
+    assert len(logs) == len(subdirs)
+    assert list(map(len, logs.values())) == [5] * len(logs)
+    scalars = os.path.join(callback.live.plots_dir, Metric.subfolder)
+    assert all(
+        os.path.join(scalars, subdir, "mlogloss.tsv") in logs for subdir in subdirs
+    )
 
 
 def test_xgb_model_file(tmp_dir, train_params, iris_data):