A universal cycle (u-cycle) for permutations of length $n$ is a cyclic word, any size $n$ window of which is order-isomorphic to exactly one permutation of length $n$, and all permutations of length $n$ are covered. It is known that u-cycles for permutations exist, and they have been considered in the literature in several papers from different points of view. In this paper, we show how to construct a family of u-cycles for multi-dimensional permutations, which is based on applying an appropriate greedy algorithm. Our construction is a generalisation of the greedy way by Gao et al. to construct u-cycles for permutations. We also note the existence of u-cycles for $d$-dimensional matrices.