The goal of object navigation is to reach the expected objects according to visual information in the unseen environments. Previous works usually implement deep models to train an agent to predict actions in real-time. However, in the unseen environment, when the target object is not in egocentric view, the agent may not be able to make wise decisions due to the lack of guidance. In this paper, we propose a hierarchical object-to-zone (HOZ) graph to guide the agent in a coarse-to-fine manner, and an online-learning mechanism is also proposed to update HOZ according to the real-time observation in new environments. In particular, the HOZ graph is composed of scene nodes, zone nodes and object nodes. With the pre-learned HOZ graph, the real-time observation and the target goal, the agent can constantly plan an optimal path from zone to zone. In the estimated path, the next potential zone is regarded as sub-goal, which is also fed into the deep reinforcement learning model for action prediction. Our methods are evaluated on the AI2-Thor simulator. In addition to widely used evaluation metrics SR and SPL, we also propose a new evaluation metric of SAE that focuses on the effective action rate. Experimental results demonstrate the effectiveness and efficiency of our proposed method. The code is available at https://github.com/sx-zhang/HOZ.git.