This paper presents a gain scheduling approach for achieving the consensus tracking of multi-agent systems with actuator saturation. We first construct a series of nesting ellipsoid invariant sets associated with consensus errors. When the consensus errors stay between the two ellipsoid invariant sets, the feedback gains keep constant, but when the consensus errors enter into the smaller ellipsoid invariant set, the feedback gains abruptly become larger. By combining this gain scheduling technique and the parametric Lyapunov equations, we, respectively, design state and output feedback gain scheduling protocols. Their main advantage, in comparison with the fixed case, is that the convergence rate of consensus tracking can be enhanced by scheduling the gain parameters. Numerical simulations verify the effectiveness of theoretical analysis.