Understanding complex interactions between brain regions is critical for early neurodegenerative disease classification such as Alzheimer's Disease (AD) and Parkinson's Disease (PD). While graph-based models are widely used to analyze brain networks, most existing approaches primarily focus on pairwise interactions between directly connected nodes, limiting their ability to capture higher-order dependencies across multiple regions. Although hypergraph-based methods have been proposed to model higher-order relations, many rely on predefined hyperedges or restrict learning to hyperedge weights, reducing flexibility and limiting their capacity to capture multi-resolution structural patterns. In this regard, we introduce an adaptive multi-scale hyperedge learning framework, i.e., MuHL, which constructs hierarchical node features and dynamically learns high-order interactions through continuous hyperedge construction over multi-resolution graph signals. Extensive experiments on multiple brain network benchmarks demonstrate that MuHL consistently improves disease classification performance across different stages, and further identifies key regions of interest (ROIs) and their group-wise interactions from the learned hyperedges that are associated with disease progression, highlighting its potential as a powerful tool for brain network analysis in neurodegenerative disorders.