Synchronization analyses of electroencephalogram (EEG) and electromyogram (EMG) could reveal the functional corticomuscular coupling (FCMC) between sensorimotor cortex and motor units firing in a target muscle. In order to quantitatively analyze the nonlinear functional coupling characteristics of EEG and EMG on a multiple time scale, a multiscale transfer entropy (MSTE) method based on the transfer entropy theory is proposed. Considering the multi-scale characteristics of EEG and EMG signals, the EEG and EMG signals are firstly decomposed into multiscale ones, respectively, to show the information on different time scales. Then the signals on different time scales are decomposed into different frequency bands to show the frequency domain characteristics. Finally, the EEG and EMG in different frequency bands on different scales are calculated by the MSTE method to obtain the FCMC characteristics on different time scales and in coupling frequency bands. In this study the MSTE is used to quantitatively analyze the nonlinear functional connection between EEG over the brain scalp and the surface EMG from the flexor digitorum surerficialis (FDS), which are recorded simultaneously during grip task with steady-state force output.#br#In the process of data processing, the coarse graining method is introduced firstly to decompose the EEG and EMG recorded in the task. Secondly, MSTEs between EEG and EMG on various scales are calculated to describe the nonlinear FCMC characteristics in different pathways (EEG→EMG and EMG→EEG). Furthermore, a significant indicator of MSTE is defined to quantitatively analyze the discrepancy between FCMC interaction strengths in the specific frequency band. The results show that the functional corticomuscular coupling is significant in both descending (EEG→EMG) and ascending (EMG→EEG) directions in the beta-band (15-35 Hz) in the static force output stage, especially that the interaction strength in descending direction is stronger in beta2-band (15-35 Hz) than that in the ascending direction. Meanwhile, the maximum FCMC strength value and the maximum or minimum discrepancy value between coupling directions on different scales almost occur on the high scales (15-30). Our study confirms that beta oscillations of EEG travel bidirectionally between the sensorimotor cortex and contralateral muscles in the sensorimotor loop system, and beta2 band is likely to reflect the motor control commands from the cortex to the muscle. Additionally, the discrepancy varies on different time scales and in different coupling frequency bands. The results show that the MSTE can quantitatively estimate the nonlinear interconnection and functional corticomuscular coupling between the sensorimotor cortex and the muscle.