In this paper, an efficient high-order gas-kinetic scheme (EHGKS) is proposed to solve the Euler equations for compressible flows. We re-investigate the underlying mechanism of the high-order gas-kinetic scheme (HGKS) and find a new strategy to improve its efficiency. The main idea of the new scheme contains two parts. Firstly, inspired by the state-of-art simplifications on the third-order HGKS, we extend the HGKS to the case of arbitrary high-order accuracy and eliminate its unnecessary high-order dissipation terms. Secondly, instead of computing the derivatives of particle distribution function and their complex moments, we introduce a Lax-Wendroff procedure to compute the high-order derivatives of macroscopic quantities directly. The new scheme takes advantage of both HGKS and the Lax-Wendroff procedure, so that it can be easily extended to the case of arbitrary high-order accuracy with practical significance. Typical numerical tests are carried out by EHGKS, with the third, fifth and seventh-order accuracy. The presence of good resolution on the discontinuities and flow details, together with the optimal CFL numbers, validates the high accuracy and strong robustness of EHGKS. To compare the efficiency, we present the results computed by the EHGKS, the original HGKS and Runge-Kutta-WENO-GKS. This further demonstrates the advantages of EHGKS.