Traffic forecasting is essential to intelligent transportation systems, which is challenging due to the complicated spatial and temporal dependencies within a road network. Existing works usually learn spatial and temporal dependencies separately, ignoring the dependencies crossing spatial and temporal dimensions. In this paper, we propose DSTCGCN, a dynamic spatial-temporal cross graph convolution network to learn dynamic spatial and temporal dependencies jointly via graphs for traffic forecasting. Specifically, we introduce a fast Fourier transform (FFT) based attentive selector to choose relevant time steps for each time step based on time-varying traffic data. Given the selected time steps, we introduce a dynamic cross graph construction module, consisting of the spatial graph construction, temporal connection graph construction, and fusion modules, to learn dynamic spatial-temporal cross dependencies without pre-defined priors. Extensive experiments on six real-world datasets demonstrate that DSTCGCN achieves the state-of-the-art performance.