We provide a generalization of the Lie algebra of conformal Killing vector fields to conformal Killing-Yano forms. A new Lie bracket for conformal Killing-Yano forms that corresponds to slightly modified Schouten-Nijenhuis bracket of differential forms is proposed. We show that conformal Killing-Yano forms satisfy a graded Lie algebra in constant curvature manifolds. It is also proven that normal conformal Killing-Yano forms in Einstein manifolds also satisfy a graded Lie algebra. The constructed graded Lie algebras reduce to the graded Lie algebra of Killing-Yano forms and the Lie algebras of conformal Killing and Killing vector fields in special cases.