Coarse-grained linguistic information, such as name entities or phrases, facilitates adequately representation learning in pre-training. Previous works mainly focus on extending the objective of BERT's Masked Language Modeling (MLM) from masking individual tokens to contiguous sequences of n tokens. We argue that such continuously masking method neglects to model the inner-dependencies and inter-relation of coarse-grained information. As an alternative, we propose ERNIE-Gram, an explicitly n-gram masking method to enhance the integration of coarse-grained information for pre-training. In ERNIE-Gram, n-grams are masked and predicted directly using explicit n-gram identities rather than contiguous sequences of tokens. Furthermore, ERNIE-Gram employs a generator model to sample plausible n-gram identities as optional n-gram masks and predict them in both coarse-grained and fine-grained manners to enable comprehensive n-gram prediction and relation modeling. We pre-train ERNIE-Gram on English and Chinese text corpora and fine-tune on 19 downstream tasks. Experimental results show that ERNIE-Gram outperforms previous pre-training models like XLNet and RoBERTa by a large margin, and achieves comparable results with state-of-the-art methods.