File data is used to store all object and data of a database.
When File data have object and data, it will not be able to move to other filegroup.

How to move data file to other filegroup:
No, you cannot move data file to other filegroup.
However, you can empty current data file, delete this data file and then create a same name data file at same path with different filegroup.
The following is the T-SQL to move data file named “TEST_FD01.ndf” to filegroup “FG01” at database named “Hello”:

USE Hello;
GO
-- Empty data file
DBCC SHRINKFILE ('TEST_FD01', EMPTYFILE);
-- Remove data file
ALTER DATABASE Hello REMOVE FILE TEST_FD01;
-- Create filegroup named FG01
ALTER DATABASE Hello ADD FILEGROUP FG01
-- Recreate data file to new filegroup
ADD FILE
(
NAME = TEST_FD01,
FILENAME = 'C:\New_Path\TEST_FD01.ndf'
)
TO FILEGROUP FG01

How to combine multi data file within same filegroup:
Use DBCC SHRINKFILE to empty data file and then delete the data file.
The following show how to combine test_1, test_2 to test_4:

-- Empty data file
DBCC SHRINKFILE ('test_1', EMPTYFILE);
DBCC SHRINKFILE ('test_2', EMPTYFILE);
-- Remove data file
ALTER DATABASE Hello REMOVE FILE test_1;
ALTER DATABASE Hello REMOVE FILE test_1;

How to shrink data file’s size:
After we delete table within data file, the size of data file will not auto-shrink.
The following is to shrink the size of data file named “test_1”:

-- Shrink data file named "test_1" to 2G.
-- If data file is greater the 2G, after running shrink command.
-- It means that data file's data size is greater than 2G.
DBCC SHRINKFILE([test_1],2)