diff --git a/doc/source/whatsnew/v1.5.0.rst b/doc/source/whatsnew/v1.5.0.rst
index d138ebb9c02a3..7fc8b16bbed9a 100644
--- a/doc/source/whatsnew/v1.5.0.rst
+++ b/doc/source/whatsnew/v1.5.0.rst
@@ -1010,6 +1010,7 @@ Groupby/resample/rolling
 - Bug in :meth:`DataFrame.resample` reduction methods when used with ``on`` would attempt to aggregate the provided column (:issue:`47079`)
 - Bug in :meth:`DataFrame.groupby` and :meth:`Series.groupby` would not respect ``dropna=False`` when the input DataFrame/Series had a NaN values in a :class:`MultiIndex` (:issue:`46783`)
 - Bug in :meth:`DataFrameGroupBy.resample` raises ``KeyError`` when getting the result from a key list which misses the resample key (:issue:`47362`)
+- Bug in :meth:`DataFrame.groupby` would lose index columns when the DataFrame is empty for transforms, like fillna (:issue:`47787`)
 -
 
 Reshaping
diff --git a/pandas/core/groupby/groupby.py b/pandas/core/groupby/groupby.py
index 28e1b2b388035..26ae5ba91708f 100644
--- a/pandas/core/groupby/groupby.py
+++ b/pandas/core/groupby/groupby.py
@@ -1020,6 +1020,11 @@ def curried(x):
                 return self.apply(curried)
 
             is_transform = name in base.transformation_kernels
+
+            # Transform needs to keep the same schema, including when empty
+            if is_transform and self._obj_with_exclusions.empty:
+                return self._obj_with_exclusions
+
             result = self._python_apply_general(
                 curried, self._obj_with_exclusions, is_transform=is_transform
             )
diff --git a/pandas/tests/groupby/test_groupby.py b/pandas/tests/groupby/test_groupby.py
index 920b869ef799b..df49db9ec9dad 100644
--- a/pandas/tests/groupby/test_groupby.py
+++ b/pandas/tests/groupby/test_groupby.py
@@ -2348,6 +2348,42 @@ def test_groupby_duplicate_index():
     tm.assert_series_equal(result, expected)
 
 
+def test_group_on_empty_multiindex(transformation_func, request):
+    # GH 47787
+    # With one row, those are transforms so the schema should be the same
+    if transformation_func == "tshift":
+        mark = pytest.mark.xfail(raises=NotImplementedError)
+        request.node.add_marker(mark)
+    df = DataFrame(
+        data=[[1, Timestamp("today"), 3, 4]],
+        columns=["col_1", "col_2", "col_3", "col_4"],
+    )
+    df["col_3"] = df["col_3"].astype(int)
+    df["col_4"] = df["col_4"].astype(int)
+    df = df.set_index(["col_1", "col_2"])
+    if transformation_func == "fillna":
+        args = ("ffill",)
+    elif transformation_func == "tshift":
+        args = (1, "D")
+    else:
+        args = ()
+    result = df.iloc[:0].groupby(["col_1"]).transform(transformation_func, *args)
+    expected = df.groupby(["col_1"]).transform(transformation_func, *args).iloc[:0]
+    if transformation_func in ("diff", "shift"):
+        expected = expected.astype(int)
+    tm.assert_equal(result, expected)
+
+    result = (
+        df["col_3"].iloc[:0].groupby(["col_1"]).transform(transformation_func, *args)
+    )
+    expected = (
+        df["col_3"].groupby(["col_1"]).transform(transformation_func, *args).iloc[:0]
+    )
+    if transformation_func in ("diff", "shift"):
+        expected = expected.astype(int)
+    tm.assert_equal(result, expected)
+
+
 @pytest.mark.parametrize(
     "idx",
     [