With \multirow and \multicolumn you can reach what you need.
I have also created a new column type for centering the cell contents and redefined \arraystretch to have more vertical space between rows.
However, I would suggest you to get rid of the vertical rules and use booktabs.
\documentclass{article}
\usepackage{array}
\newcolumntype{C}[1]{>{\centering\arraybackslash}p{#1}}
\renewcommand{\arraystretch}{1.3}
\usepackage{multirow}
\usepackage{booktabs}
\begin{document}
Your table:\vspace{10pt}
\begin{tabular}{|p{0.6in}|C{0.3in}|C{0.4in}|C{0.4in}|C{0.4in}|} \hline
\multicolumn{2}{|c|}{\multirow{2}{*}{$P_{batt}$}}& \multicolumn{3}{c|}{$P_{mot}$} \\ \cline{3-5}
\multicolumn{2}{|c|}{} & S & M & H \\ \hline
& S & S & Z & VS \\ \cline{2-5}
SOC & M & M & Z & H \\ \cline{2-5}
& H & M & Z & H \\ \hline
\end{tabular}
\vspace{10pt}My suggestion:\vspace{10pt}
\begin{tabular}{lc*{3}{C{1.5em}}}
\toprule
\multicolumn{2}{c}{\multirow{2}{*}{$P_{batt}$}}& \multicolumn{3}{c}{$P_{mot}$} \\ \cmidrule{3-5}
\multicolumn{2}{c}{} & S & M & H \\ \midrule
& S & S & Z & VS \\ \cmidrule(l){2-5}
SOC & M & M & Z & H \\ \cmidrule(l){2-5}
& H & M & Z & H \\
\bottomrule
\end{tabular}
\end{document}

booktabs. Something like this? – Werner Nov 20 '18 at 06:17\documentclass{...}, the required\usepackage's,\begin{document}, and\end{document}. That may seem tedious to you, but think of the extra work it represents for TeX.SX users willing to give you a hand. Help them help you: remove that one hurdle between you and a solution to your problem. – Martin Schröder Nov 20 '18 at 12:34