Single-scale frameworks are often used to analyze the habitat selections of species. Research on habitat selection can be significantly improved using multi-scale models that enable greater in-depth analyses of the scale dependence between species and specific environmental factors. In this study, the winter habitat selection of red deer in the Gogostaihanwula Nature Reserve, Inner Mongolia, was studied using a multi-scale model. Each selected covariate was included in multi-scale models at their “characteristic scale”, and we used an all subsets approach and model selection framework to assess habitat selection. The results showed that: (1) Univariate logistic regression analysis showed that the response scale of red deer to environmental factors was different among different covariate. The optimal scale of the single covariate was 800–3200 m, slope (SLP), altitude (ELE), and ratio of deciduous broad-leaved forests were 800 m in large scale, except that the farmland ratio was 200 m in fine scale. The optimal scale of road density and grassland ratio is both 1600 m, and the optimal scale of net forest production capacity is 3200 m; (2) distance to forest edges, distance to cement roads, distance to villages, altitude, distance to all road, and slope of the region were the most important factors affecting winter habitat selection. The outcomes of this study indicate that future studies on the effectiveness of habitat selections will benefit from multi-scale models. In addition to increasing interpretive and predictive capabilities, multi-scale habitat selection models enhance our understanding of how species respond to their environments and contribute to the formulation of effective conservation and management strategies for ungulata.