Self-supervised learning (SSL) models have achieved considerable improvements in automatic speech recognition (ASR). In addition, ASR performance could be further improved if the model is dedicated to audio content information learning theoretically. To this end, we propose a progressive multi-scale self-supervised learning (PMS-SSL) method, which uses fine-grained target sets to compute SSL loss at top layer while uses coarse-grained target sets at intermediate layers. Furthermore, PMS-SSL introduces multi-scale structure into multi-head self-attention for better speech representation, which restricts the attention area into a large scope at higher layers while restricts the attention area into a small scope at lower layers. Experiments on Librispeech dataset indicate the effectiveness of our proposed method. Compared with HuBERT, PMS-SSL achieves 13.7% / 12.7% relative WER reduction on test other evaluation subsets respectively when fine-tuned on 10hours / 100hours subsets.