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Recent years have witnessed great progress in deep learning based object detection. However, due to the domain shift problem, applying off-the-shelf detectors to an unseen domain leads to significant performance drop. To address such an issue, this paper proposes a novel coarse-to-fine feature adaptation approach to cross-domain object detection. At the coarse-grained stage, different from the rough image-level or instance-level feature alignment used in the literature, foreground regions are extracted by adopting the attention mechanism, and aligned according to their marginal distributions via multi-layer adversarial learning in the common feature space. At the fine-grained stage, we conduct conditional distribution alignment of foregrounds by minimizing the distance of global prototypes with the same category but from different domains. Thanks to this coarse-to-fine feature adaptation, domain knowledge in foreground regions can be effectively transferred. Extensive experiments are carried out in various cross-domain detection scenarios. The results are state-of-the-art, which demonstrate the broad applicability and effectiveness of the proposed approach.