Functional corticomuscular coupling (FCMC) probes multi-level information communication in the sensorimotor system. The canonical Coherence (caCOH) method has been leveraged to measure the FCMC between two multivariate signals within the single scale. In this paper, we propose the concept of multiscale canonical Coherence (MS-caCOH) to disentangle complex multi-layer information and extract coupling features in multivariate spaces from multiple scales. Then, we verified the reliability and effectiveness of MS-caCOH on two types of data sets, i.e., a synthetic multivariate data set and a real-world multivariate data set. Our simulation results showed that compared with caCOH, MS-caCOH enhanced coupling detection and achieved lower pattern recovery errors at multiple frequency scales. Further analysis on experimental data demonstrated that the proposed MS-caCOH method could also capture detailed multiscale spatial-frequency characteristics. This study leverages the multiscale analysis framework and multivariate method to give a new insight into corticomuscular coupling analysis.