In this article, we develop an arithmetic analogue of Fourier-Jacobi period integrals for a pair of unitary groups of equal rank. We construct the so-called Fourier-Jacobi cycles, which are algebraic cycles on the product of unitary Shimura varieties and abelian varieties. We propose the arithmetic Gan-Gross-Prasad conjecture for these cycles, which is related to central derivatives of certain Rankin-Selberg L-functions, and develop a relative trace formula approach toward this conjecture. As a necessary ingredient, we propose the conjecture of the corresponding arithmetic fundamental lemma, and confirm it for unitary groups of rank at most two and for the minuscule case. YIFENG LIU B.2. Main theorem and consequences 58 B.3. Proof of Theorem B.4 60 Appendix C. Shimura varieties for hermitian spaces 64 C.1. Case of isometry 64 C.2. Case of similitude 66 C.3. Their connection 68 C.4. Integral models and uniformization 70 Appendix D. Cohomology of unitary Shimura curves 75 D.1. Oscillator representations of local unitary groups 75 D.2. Setup for cohomology of Shimura varieties 77 D.3. Statements for cohomology of unitary Shimura curves 78 D.4. Proof of Theorem D.6 81 References 85