We present a multigrid algorithm to solve efficiently the large saddle-point systems of equations that typically arise in PDE-constrained optimization under uncertainty. The algorithm is based on a collective smoother that at each iteration sweeps over the nodes of the computational mesh, and solves a reduced saddle-point system whose size depends on the number of samples used to discretize the probability space. We show that this reduced system can be solved with optimal complexity. We test the multigrid method on three problems: a linear-quadratic problem for which the multigrid method is used to solve directly the linear optimality system; a nonsmooth problem with box constraints and L^1 norm penalization on the control, in which the multigrid scheme is used within a semismooth Newton iteration; a risk-adverse problem with the smoothed CVaR risk measure where the multigrid method is called within a preconditioned Newton iteration. In all cases, the multigrid algorithm exhibits very good performances and robustness with respect to all parameters of interest.