Recently, network embedding has received a large amount of attention in network analysis. Although some network embedding methods have been developed from different perspectives, on one hand, most of the existing methods only focus on leveraging the plain network structure, ignoring the abundant attribute information of nodes. On the other hand, for some methods integrating the attribute information, only the lower-order proximities (e.g., microscopic proximity structure) are taken into account, which may suffer if there exists the sparsity issue and the attribute information is noisy. To overcome this problem, the attribute information and mesoscopic community structure are utilized. In this article, we propose a novel network embedding method termed Attributed Network Embedding with Micro-Meso structure, which is capable of preserving both the attribute information and the structural information including the microscopic proximity structure and mesoscopic community structure. In particular, both the microscopic proximity structure and node attributes are factorized by Nonnegative Matrix Factorization (NMF), from which the low-dimensional node representations can be obtained. For the mesoscopic community structure, a community membership strength matrix is inferred by a generative model (i.e., BigCLAM) or modularity from the linkage structure, which is then factorized by NMF to obtain the low-dimensional node representations. The three components are jointly correlated by the low-dimensional node representations, from which two objective functions (i.e., ANEM_B and ANEM_M) can be defined. Two efficient alternating optimization schemes are proposed to solve the optimization problems. Extensive experiments have been conducted to confirm the superior performance of the proposed models over the state-of-the-art network embedding methods.