Traditionally, word segmentation (WS) adopts the single-granularity formalism, where a sentence corresponds to a single word sequence. However, Sproat et al. (1996) show that the inter-nativespeaker consistency ratio over Chinese word boundaries is only 76%, indicating single-grained WS (SWS) imposes unnecessary challenges on both manual annotation and statistical modeling. Moreover, WS results of different granularities can be complementary and beneficial for high-level applications.This work proposes and addresses multi-grained WS (MWS). First, we build a large-scale pseudo MWS dataset for model training and tuning by leveraging the annotation heterogeneity of three SWS datasets. Then we manually annotate 1,500 test sentences with true MWS annotations. Finally, we propose three benchmark approaches by casting MWS as constituent parsing and sequence labeling. Experiments and analysis lead to many interesting findings.