Millimeter-Wave Massive MIMO is important for beyond 5G or 6G wireless communication networks. The goal of this paper is to establish successful communication between the cellular base stations and devices, focusing on the problem of joint user activity detection and channel estimation. Different from traditional compressed sensing (CS) methods that only use the sparsity of user activities, we develop several Approximate Message Passing (AMP) based CS algorithms by exploiting the sparsity of user activities and mmWave channels. First, a group soft-thresholding AMP is presented to utilize only the user activity sparsity. Second, a hard-thresholding AMP is proposed based on the on-grid CS approach. Third, a super-resolution AMP algorithm is proposed based on atomic norm, in which a greedy method is proposed as a super-resolution denoiser. And we smooth the denoiser based on Monte Carlo sampling to have Lipschitz continuity and present state evolution results. Extensive simulation results show that the proposed method outperforms the previous state-of-the-art methods.