Scenario analysis is a useful tool for exploring key uncertainties that may shape the future of social-ecological systems. This paper explores the methods, costs, and benefits of developing and linking scenarios of social-ecological systems across multiple spatial scales. Drawing largely on experiences in the Millennium Ecosystem Assessment, we suggest that the desired degree of cross-scale linkage depends on the primary aim of the scenario exercise. Loosely linked multiscale scenarios appear more appropriate when the primary aim is to engage in exploratory dialog with stakeholders. Tightly coupled cross-scale scenarios seem to work best when the main objective is to further our understanding of cross-scale interactions or to assess trade-offs between scales. The main disadvantages of tightly coupled cross-scale scenarios are that their development requires substantial time and financial resources, and that they often suffer loss of credibility at one or more scales. The reasons for developing multiscale scenarios and the expectations associated with doing so therefore need to be carefully evaluated when choosing the desired degree of cross-scale linkage in a particular scenario exercise.