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The `pre-train, prompt, predict' paradigm of large language models (LLMs) has achieved remarkable success in open-domain question answering (OD-QA). However, few works explore this paradigm in multi-document question answering (MD-QA), a task demanding a thorough understanding of the logical associations among the contents and structures of documents. To fill this crucial gap, we propose a Knowledge Graph Prompting (KGP) method to formulate the right context in prompting LLMs for MD-QA, which consists of a graph construction module and a graph traversal module. For graph construction, we create a knowledge graph (KG) over multiple documents with nodes symbolizing passages or document structures (e.g., pages/tables), and edges denoting the semantic/lexical similarity between passages or document structural relations. For graph traversal, we design an LLM-based graph traversal agent that navigates across nodes and gathers supporting passages assisting LLMs in MD-QA. The constructed graph serves as the global ruler that regulates the transitional space among passages and reduces retrieval latency. Concurrently, the graph traversal agent acts as a local navigator that gathers pertinent context to progressively approach the question and guarantee retrieval quality. Extensive experiments underscore the efficacy of KGP for MD-QA, signifying the potential of leveraging graphs in enhancing the prompt design and retrieval augmented generation for LLMs. Our code: https://github.com/YuWVandy/KG-LLM-MDQA.