Information granulation and concept approximation are some of the fundamental issues of granular computing. Granulation of a universe involves grouping of similar elements into granules to form coarse‐grained views of the universe. Approximation of concepts, represented by subsets of the universe, deals with the descriptions of concepts using granules. In the context of rough set theory, this paper examines the two related issues. The granulation structures used by standard rough set theory and the corresponding approximation structures are reviewed. Hierarchical granulation and approximation structures are studied, which results in stratified rough set approximations. A nested sequence of granulations induced by a set of nested equivalence relations leads to a nested sequence of rough set approximations. A multi‐level granulation, characterized by a special class of equivalence relations, leads to a more general approximation structure. The notion of neighborhood systems is also explored. © 2001 John Wiley & Sons, Inc.