An analog front-end circuit capable of dynamically adjusting gain includes a programmable gain amplifier (PGA) circuit, a sensor, a calculation circuit, a gain coarse control circuit and a gain fine control circuit. The PGA circuit includes an amplifier, a gain coarse adjustment circuit and a gain fine adjustment circuit. The gain coarse adjustment circuit is controlled by a coarse control signal, and a gain is adjusted in a coarse step according to an initial gain. The gain fine adjustment circuit is controlled by a fine control signal in a data mode, and the gain is adjusted in a fine step. The calculation circuit calculates a primary gain adjustment and a secondary gain adjustment. The gain coarse control circuit generates the coarse control signal according to the primary gain adjustment, and the gain fine control circuit generates the fine control signal according to the secondary gain adjustment.