In the paper, a two-grid finite element scheme is discussed for distributed optimal control governed by elliptic equations. With this new scheme, the solution of the elliptic optimal control problem on a fine grid is reduced to the solution of the elliptic optimal control problem on a much coarser grid and the solution of a linear algebraic system on the fine grid and the resulting solution still maintains an asymptotically optimal accuracy. Finally, numerical experiments are carried out to confirm the considered theory.