Factory pattern for multiple nested dependencies?

I understand the factory pattern on a simple form but not much if the class requires multiple nested dependencies. E.g.,

$cfg = new Cfg();
$cfg->setA('a');
$cfg->setB('b');

$qux = new Qux('x');    
$bar = new Bar($cfg, $qux);    
$foo = new Foo($cfg, $bar);

In the above example, how do you properly make a factory pattern for class Foo so that when you run $factory->build(); you get an instance of Foo with all its dependencies?