Hi Emil,
If you mean that you’d like to add a sub-grid in the form of a contact to show all the segments the contact belongs to, it cannot be achieved unfortunately.
For the sub-grid needs an N: 1 or N: N relationship between the target entity and Contact entity, for example, Lead: Contact / Marketing List: Contact.

However, the relationship between Segment entity and Contact entity is 1: N.

It means that you can only show the list of members(Contacts) in a segment but cannot show a list of segments which contains a certain contact.
To know more about sub-grid, please refer to:
Sub-Grid properties for main forms | Microsoft Docs
If this helped you, I'd appreciate it if you'd mark this as a Verified Answer, which may in turn help others as well.
Best Regards,
Nya