It is an interesting direction to study rough sets from a multi-granularity perspective. In rough set theory, the multi-particle structure was represented by a binary relation. This paper considers a new neutrosophic rough set model, multi-granulation neutrosophic rough set (MGNRS). First, the concept of MGNRS on a single domain and dual domains was proposed. Then, their properties and operators were considered. We obtained that MGNRS on dual domains will degenerate into MGNRS on a single domain when the two domains are the same. Finally, a kind of special multi-criteria group decision making (MCGDM) problem was solved based on MGNRS on dual domains, and an example was given to show its feasibility.