While having been used widely for large-scale recommendation and online advertising, the Graph Neural Network (GNN) has demonstrated its representation learning capacity to extract embeddings of nodes and edges through passing, transforming, and aggregating information over the graph. In this work, we propose PGLBox1 - a multi-GPU graph learning framework based on PaddlePaddle [24], incorporating with optimized storage, computation, and communication strategies, to train deep GNNs based on web-scale graphs for the recommendation. Specifically, PGLBox adopts a hierarchical storage system with three layers to facilitate I/O, where graphs and embeddings are stored in the HBMs and SSDs, respectively, with MEMs as the cache. To fully utilize multi-GPUs and I/O bandwidth, PGLBox proposes an asynchronous pipeline with three stages - it first samples the subgraphs from the input graph, then pulls & updates embeddings and trains GNNs on the subgraph with parameters updating queued at the end of the pipeline. Thanks to the capacity of PGLBox in handling web-scale graphs, it becomes feasible to unify the view of GNN-based recommendation tasks for multiple advertising verticals and fuse all these graphs into a unified yet huge one. We evaluate PGLBox using a bucket of realistic GNN training tasks for the recommendation, and compare the performance of PGLBox on top of a multi-GPU server (Tesla A100×8) and the legacy training system based on a 40-node MPI cluster at Baidu. The overall comparisons show that PGLBox could save up to 55% monetary cost for training GNN models, and achieve up to 14× training speedup with the same accuracy as the legacy trainer. The open-source implementation of PGLBox is available at https://github.com/PaddlePaddle/PGL/tree/main/apps/PGLBox.