Lattice structures fabricated by Additive Manufacturing (AM) processes are promising for many applications, such as lightweight structures and energy absorbers. However, predicting and controlling of their mechanical behaviors is challenging due to the complexity of modeling and the uncertainties exist in the manufacturing process. In this paper, we explore the possibilities enabled by controlling the local densities. A set of lattice structures with different density gradients are designed using an implicit isosurface equation, and they are manufactured by Selective Laser Melting (SLM) process with 304L stainless steel. Finite element analysis and compression test are used to evaluate their mechanical properties. The results demonstrate the strong correlations between the structural gradient and the mechanical behavior. Introducing the density gradient provides more possibilities in the design phase, which can be used to further customize the design both structurally and functionally