To drive safely in complex traffic environments, autonomous vehicles need to make an accurate prediction of the future trajectories of nearby heterogeneous traffic agents (i.e., vehicles, pedestrians, bicyclists, etc). Due to the interactive nature, human drivers are accustomed to infer what the future situations will become if they are going to execute different maneuvers. To fully exploit the impacts of interactions, this paper proposes a ego-planning guided multi-graph convolutional network (EPG-MGCN) to predict the trajectories of heterogeneous agents using both historical trajectory information and ego vehicle's future planning information. The EPG-MGCN first models the social interactions by employing four graph topologies, i.e., distance graphs, visibility graphs, planning graphs and category graphs. Then, the planning information of the ego vehicle is encoded by both the planning graph and the subsequent planning-guided prediction module to reduce uncertainty in the trajectory prediction. Finally, a category-specific gated recurrent unit (CS-GRU) encoder-decoder is designed to generate future trajectories for each specific type of agents. Our network is evaluated on two real-world trajectory datasets: ApolloScape and NGSIM. The experimental results show that the proposed EPG-MGCN achieves state-of-the-art performance compared to existing methods.