Single-cell genomic studies were recently conducted on hundred of samples exhibiting complex designs. These data have tremendous potential for discovering how sample- or tissue-level phenotypes relate to cellular and molecular composition. However, current analyses are often based on simplified representations of these data by averaging information across cells. We present multi-resolution variational inference (MrVI), a deep generative model designed to realize the potential of cohort studies at the single-cell level. MrVI tackles two fundamental, intertwined problems: stratifying samples into groups and evaluating the cellular and molecular differences between groups, without requiring predefined cell states. Leveraging its single-cell perspective, MrVI detects clinically relevant stratifications of cohorts of people with COVID-19 or inflammatory bowel disease that are manifested in only certain cellular subsets, enabling new discoveries that would otherwise be overlooked. MrVI can de novo identify groups of small molecules with similar biochemical properties and evaluate their effects on cellular composition and gene expression in large-scale perturbation studies. MrVI is an open-source tool at scvi-tools.org .