If there is millions of KGs of air in the atmosphere then why don't we get crush

The reason behind that is because our body exerts and equal amount of pressure against the atmosphere. Take note that im speaking in terms of pressure here or force per unit area, which should be the item of concern, and not the total mass of the atmosphere. The mass of the atmosphere may be in millions of kilograms, as you say, but the amount of pressure it exerts is distributed over the entire planet, thus we feel an insignificant amount of pressure if we are above sea level.