A multi-scale study of the dynamic grain refinement behavior and residual stress state of copper induced by surface mechanical attrition treatment (SMAT) of copper was carried out by developing a macro-micro coupled simulation method. The three-dimensional macro-scale finite element model of SMAT was developed firstly, and the refined grain size was calculated accordingly. According to the averaged grain size, the finite element model of polycrystals was created, the dislocation slip resistance resulted from the macro-scale finite element computation of SMAT was imported into the crystal plastic constitutive model, and the strain field outputted from the macro-scale finite element simulation was converted into the displacement boundary condition and was imposed on the finite element model of copper polycrystals. The crystal plastic finite element computation was then performed with respect to the present material hardening effect. The microstructure stress state and grain orientation distribution within a material point of the macro-scale finite element model of SMAT were resultantly investigated by using the micro-scale finite element model of polycrystals. The obtained results show that, during the SMAT process, with the increasing of shot multi-directional impacts, the refined grain size decreases and both the macroscale and microscale surface compressive residual stresses increase, however, the non-uniformity of the grain orientation distribution increases at first and then decreases gradually.