Originally answered Aug 30, 2019
Create one or more folders, and create or move playlists into these folders. You can create hierarchies of folders, which in turn can contain more folders or playlists.
To shuffle a set of playlists, use the desktop app version of Spotify, Click on the highest folder in a hierarchy that you want to play. Make sure that the shuffle indicator at the bottom is turned on (green):
Then click on the green PLAY button at the top:
To do this on the mobile app, follow the steps above to start listening on your desktop app. Then start up the mobile app version of Spotify. You will see something similar to the following:
Click on LISTEN ON THIS <your mobile device name>
Now you have switched the shuffle play from your desktop to your mobile device. You can continue listening to this as long as you don’t start a new song from your mobile device.