Human activities are goal-oriented and hierarchical, comprising primary goals at the top level, sequences of steps and substeps in the middle, and atomic actions at the lowest level. Recognizing human activities thus requires relating atomic actions and steps to their functional objectives (what the actions contribute to) and modeling their sequential and hierarchical dependencies towards achieving the goals. Current activity recognition research has primarily focused on only the lowest levels of this hierarchy, i.e., atomic or low-level actions, often in trimmed videos with annotations spanning only a few seconds. In this work, we introduce Ego4D Goal-Step, a new set of annotations on the recently released Ego4D with a novel hierarchical taxonomy of goal-oriented activity labels. It provides dense annotations for 48K procedural step segments (430 hours) and high-level goal annotations for 2,807 hours of Ego4D videos. Compared to existing procedural video datasets, it is substantially larger in size, contains hierarchical action labels (goals - steps - substeps), and provides goal-oriented auxiliary information including natural language summary description, step completion status, and step-to-goal relevance information. We take a data-driven approach to build our taxonomy, resulting in dense step annotations that do not suffer from poor label-data alignment issues resulting from a taxonomy defined a priori. Through comprehensive evaluations and analyses, we demonstrate how Ego4D Goal-Step supports exploring various questions in procedural activity understanding, including goal inference, step prediction, hierarchical relation learning, and long-term temporal modeling.