We consider a stochastic differential equation and its Euler-Maruyama (EM) scheme, under some appropriate conditions, they both admit a unique invariant measure, denoted by $π$ and $π_η$ respectively ($η$ is the step size of the EM scheme). We construct an empirical measure $Π_η$ of the EM scheme as a statistic of $π_η$, and use Stein's method developed in \citet{FSX19} to prove a central limit theorem of $Π_η$. The proof of the self-normalized Cramér-type moderate deviation (SNCMD) is based on a standard decomposition on Markov chain, splitting $η^{-1/2}(Π_η(.)-π(.))$ into a martingale difference series sum $\mcl H_η$ and a negligible remainder $\mcl R_η$. We handle $\mcl H_η$ by the time-change technique for martingale, while prove that $\mcl R_η$ is exponentially negligible by concentration inequalities, which have their independent interest. Moreover, we show that SNCMD holds for $x = o(η^{-1/6})$, which has the same order as that of the classical result in \citet{shao1999cramer,JSW03}.