The final state of gravitational collapse is one of the main subjects in gravitational physics in higher dimensional spacetime as well as in four dimension. Especially it is important to clarify whether naked singularities appear or not during the collapse. Naked singularity implies the breakdown of predictability of the physical theory, so it is conjectured that no such singularities form under physically reasonable condition. In this context, we study the gravitational collapse and its final state in Lovelock gravity, which is higher dimensional generalization of Einstein gravity. Then we show that naked singularity will form depending on the initial data of the collapse. We also discuss the nature of naked singularity.