Beyond diagonal reconfigurable intelligent surface (BD-RIS) is a novel branch of RIS which breaks through the limitation of traditional RIS with diagonal scattering matrices. However, the existing research focuses on BD-RIS with fixed architectures regardless of channel state information (CSI), which limit the achievable performance of BD-RIS. To solve this issue, in this paper, we propose a novel dynamically group-connected BD-RIS based on a dynamic grouping strategy. Specifically, RIS antennas are dynamically divided into several subsets adapting to the CSI, yielding a permuted block-diagonal scattering matrix. To verify the effectiveness of the proposed dynamically group-connected BD-RIS, we propose an efficient algorithm to optimize the BD-RIS with dynamic grouping for a BD-RIS-assisted multi-user multiple-input single-output system. Simulation results show that the proposed dynamically group-connected architecture outperforms fixed group-connected architectures.