3D shape generation has drawn attention in computer vision and machine learning since it opens an inspiring way to designing or creating new objects. Existing methods, however, do not reflect an important aspect of human generation processes in real life -- we often create a 3D shape by sequentially assembling geometric primitives into a combinatorial configuration. In this work, we propose a new 3D shape generation algorithm that aims to create such a combinatorial configuration from a set of volumetric primitives. To tackle the exponential growth of feasible combinations in terms of the number of primitives, we adopt sequential model-based optimization. Our method sequentially assembles primitives by exploiting and exploring adequate regions that are constrained by the current primitive placements. The evaluation function conveys global structure guidance for the assembling process to follow. Experimental results demonstrate that our method successfully generates combinatorial objects and simulates more realistic generation processes. We also introduce a new dataset for combinatorial 3D shape generation.