How can I filter selected/related entries by their categories?
Start by looping thru each category. Say, all categories in a category group called "eventsCategories." Then find entries related to each category (if any).

{# loop through each of the categories #}
{% for category in craft.categories.group('eventsCategories') %}

  {# find the exhibitor entries that are related to both the Event entry and category #}
  {% set categoryListings = craft.entries({
    section: 'exhibitors',
    relatedTo: ['and',
      { sourceElement: entry, field: 'myEntriesField' },
      { targetElement: category, field: 'myCategoriesField' }
    ]
  }) %}

  {# Only show this category if there were any related exhibitors #}
  {% if categoryListings|length %}

    &lt;h2&gt;{{ category.title }}&lt;/h2&gt;

    {% for listing in categoryListings %}
      &lt;h3&gt;{{ listing.title}}&lt;/h3&gt;
    {% endfor %}

  {% endif %}
{% endfor %}