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We present the first differentiable Network Architecture Search (NAS) for Graph Neural Networks (GNNs). GNNs show promising performance on a wide range of tasks, but require a large amount of architecture engineering. First, graphs are inherently a non-Euclidean and sophisticated data structure, leading to poor adaptivity of GNN architectures across different datasets. Second, a typical graph block contains numerous different components, such as aggregation and attention, generating a large combinatorial search space. To counter these problems, we propose a Probabilistic Dual Network Architecture Search (PDNAS) framework for GNNs. PDNAS not only optimises the operations within a single graph block (micro-architecture), but also considers how these blocks should be connected to each other (macro-architecture). The dual architecture (micro- and marco-architectures) optimisation allows PDNAS to find deeper GNNs on diverse datasets with better performance compared to other graph NAS methods. Moreover, we use a fully gradient-based search approach to update architectural parameters, making it the first differentiable graph NAS method. PDNAS outperforms existing hand-designed GNNs and NAS results, for example, on the PPI dataset, PDNAS beats its best competitors by 1.67 and 0.17 in F1 scores.