Air quality data, as a typical spatio-temporal data, exhibits complex multi-scale intrinsic characteristics and has abrupt change problem. Concerning the problem that existing air quality prediction methods perform poorly when dealing with air quality prediction tasks containing large amount of abrupt change, a Multi-Granularity abrupt Change Fitting Network (MACFN) for air quality prediction was proposed. Firstly, multi-granularity feature extraction was first performed on the input data according to the periodicity of air quality data in time. Then, a graph convolution network and a temporal convolution network were used to extract the spatial correlation and temporal dependence of the air quality data, respectively. Finally, to reduce the prediction error, an abrupt change fitting network was designed to adaptively learn the abrupt change part of the data. The proposed network was experimentally evaluated on three real air quality datasets, and the Root Mean Square Error (RMSE) decreased by about 11.6%, 6.3%, and 2.2% respectively, when compared to the Multi-Scale Spatial Temporal Network (MSSTN). The experimental results show that MACFN can efficiently capture complex spatio-temporal relationships and performs better in the task of predicting air quality that is prone to abrupt change with a large magnitude of variability.