$N$-derivation is the natural generalization of derivation and triple derivation. Let ${cal L}$ be a finitely generated Lie algebra graded by a finite dimensional Cartan subalgebra. In this paper, a sufficient condition for Lie $N$-derivation algebra
of ${cal L}$ coinciding with Lie derivation algebra of ${cal L}$ is given. As applications, any $N$-derivation of Schr{o}dinger-Virasoro algebra, generalized Witt algebras, Kac-Moody algebras and their Borel subalgebras, is a derivation.
