Knowledge graph (e.g. Freebase, YAGO) is a multi-relational graph representing rich factual information among entities of various types. Entity alignment is the key step towards knowledge graph integration from multiple sources. It aims to identify entities across different knowledge graphs that refer to the same real world entity. However, current entity alignment systems overlook the sparsity of different knowledge graphs and can not align multi-type entities by one single model. In this paper, we present a Collective Graph neural network for Multi-type entity Alignment, called CG-MuAlign. Different from previous work, CG-MuAlign jointly aligns multiple types of entities, collectively leverages the neighborhood information and generalizes to unlabeled entity types. Specifically, we propose novel collective aggregation function tailored for this task, that (1) relieves the incompleteness of knowledge graphs via both cross-graph and self attentions, (2) scales up efficiently with mini-batch training paradigm and effective neighborhood sampling strategy. We conduct experiments on real world knowledge graphs with millions of entities and observe the superior performance beyond existing methods. In addition, the running time of our approach is much less than the current state-of-the-art deep learning methods.