The ability to reason with multiple hierarchical structures is an attractive and desirable property of sequential inductive biases for natural language processing. Do the state-of-the-art Transformers and LSTM architectures implicitly encode for these biases? To answer this, we propose ORCHARD, a diagnostic dataset for systematically evaluating hierarchical reasoning in state-of-the-art neural sequence models. While there have been prior evaluation frameworks such as ListOps or Logical Inference, our work presents a novel and more natural setting where our models learn to reason with multiple explicit hierarchical structures instead of only one, i.e., requiring the ability to do both long-term sequence memorizing, relational reasoning while reasoning with hierarchical structure. Consequently, backed by a set of rigorous experiments, we show that (1) Transformer and LSTM models surprisingly fail in systematic generalization, and (2) with increased references between hierarchies, Transformer performs no better than random.