The Ads/CFT correspondence conjecture states that the type IIB superstring theory in the AdS_5 X S^5 space-time with N units of R-R flux should describe same physics as the n=4 SU(N)supersymmetic gauge theory in four dimensions. At low-energy level, there should exist a dual correspondence between the type IIB supergravity around AdS_5 X S^5 vacuum configuration and
large-N limit of n=4 supersymmetric Yang-Mills theory. With a consideration on the compactification on S^5 and the consistent
truncation of massive Kaluza-Klein modes, this conjecture implies a correspondence between the on-shell n=8 SO(6) gauged AdS_5 supergravity and n=4 four-dimensional supersymmetric Yang-Mills
theory in a n=4 conformal supergravity background furnished by the AdS_5 boundary data of gauged supergravity. This fact can be further generalized to the less supersymmetric cases. Based on this observation, the superconformal anomaly multiplet, which includes the chiral R-symmetry-, Weyl- and super-Weyl anomaly,
should be produced from the five-dimensional gauged supergravity. The holographic production of the superconformal anomaly multiplet
is a strong support and test to the AdS/CFT or generally gauge/gravity correspondence.
In this talk I shall first give an intuitively physical argument on the holography implied from the non-perturbative type II supersting theory. Then I shall introduce why and how the
superconformal anomaly multiplet of a classical conformal invariant supersymmetric gauge theory in a conformal supergravity background, specifically the super-Weyl anomaly, can be extracted from the five-dimensional on-shell gauged supergravity. Some relevant issues will also be discussed.