Livestock grazing is an important tool used in grassland land management practices. Studies have substantially addressed the effect of grazing on plant species diversity, revealing that moderate grazing increases plant species diversity. However, few studies have dealt with the relationship between grazing and arthropod species diversity, which remains unclear. Here, we hypothesize that moderate grazing promotes arthropod species diversity because arthropods are directly or indirectly dependent on plant diversity. In this study, we conducted a two-year plant and arthropod survey from 2020 to 2021 at four levels of grazing intensity, i.e., nongrazing (as a control), light grazing, moderate grazing, and heavy grazing, of the long-term grazing experiment starting in 2016. The data show that plant species diversity peaked in the moderate grazing treatment, and herbivore species diversity was positively correlated with plant species diversity (and hence peaked in the moderate grazing treatment). Moderate grazing promoted parasitoid species diversity, which was positively correlated with herbivore species diversity. However, predator species diversity did not significantly differ among the four treatments. In addition, saprophage species diversity decreased, whereas coprophages increased with increasing grazing levels, such that species richness (but not species diversity of detritivores statistically) was highest in the moderate grazing treatment. Consequently, the species diversity of arthropods as a whole peaked at the moderate grazing level, a phenomenology that is consistent with the intermediate disturbance hypothesis. Considering that moderate grazing has been found to increase plant species diversity, facilitate soil carbon accumulation, and prevent soil erosion, we suggest that moderate grazing would maximize multi-functional ecosystem services.