A completely spectral collocation method (CSCM) is developed to solve radiative transfer equation in anisotropic scattering medium with graded index. Different from the Chebyshev collocation spectral method based on the discrete ordinates method (SP-DOM), the CSCM is used to discretize both the angular domain and the spatial domain of radiative transfer equation. In this approach, the angular derivative term and the integral term are approximated by the high order spectral collocation scheme instead of the low order finite difference approximations. Compared with those available data in literature, the CSCM has a good accuracy for a wide range of the extinction coefficient, the scattering albedo, the scattering phase function, the gradient of refractive index and the boundary emissivity. The CSCM can provide exponential convergence for the present problem. Meanwhile, the CSCM is much more economical than the SP-DOM. Moreover, for nonlinear anisotropic scattering and graded index medium with space-dependent albedo, the CSCM can provide smoother results and mitigate the ray effect.