Traditional sample entropy fails to quantify inherent long-range dependencies among real data. Multiscale sample entropy (MSE) can detect intrinsic correlations in data, but it is usually used in univariate data. To generalize this method for multichannel data, we introduced multivariate multiscale entropy into multiscale signals as a reflection of the nonlinear dynamic correlation. But traditional multivariate multiscale entropy has a large quantity of computation and costs a large period of time and space for more channel system, so that it can not reflect the correlation between variables timely and accurately. In this paper, therefore, an improved multivariate multiscale entropy embeds on all variables at the same time, instead of embedding on a single variable as in the traditional methods, to solve the memory overflow while the number of channels rise, and it is more suitable for the actual multivariate signal analysis. The method was tested in simulation data and Bonn epilepsy dataset. The simulation results showed that the proposed method had a good performance to distinguish correlation data. Bonn epilepsy dataset experiment also showed that the method had a better classification accuracy among the five data set, especially with an accuracy of 100% for data collection of Z and S.