There have been several cases lately where people have asked the question “Can I sort on multiple columns in my Table/Matrix report?” More often than not the answer given is an emphatic “No”. The fact is that you CAN sort on multiple columns by simply incorporating use of the Shift key.
Assuming you have already set up interactive sorting on the columns you want to be able to sort by; run/preview your report. As you are already aware, the columns which can be sorted on have a two tiny arrows right-aligned in the column header. To sort on any one column just click on the arrows. Click on the arrow again to sort in the other direction.
To sort on multiple columns, hold down the Shift key whilst clicking the arrows icons of the columns that you want to sort on. Start with the column you want to sort on first and then move to the next sort order, etc, etc. Click on any column arrow icon twice to change the direction (continue to hold down the Shift key until you have sorted on all the columns you wish to sort by).
And there you have it. Multiple Column sorting in SSRS!