Information processing in the brain spans from localised sensorimotor processes to higher-level cognition that integrates across multiple regions. Interactions between and within these subsystems enable multiscale information processing. Despite this multiscale characteristic, functional brain connectivity is often either estimated based on 10-30 distributed modes or parcellations with 100-1000 localised parcels, both missing across-scale functional interactions. We present Multiscale Probabilistic Functional Modes (mPFMs), a new mapping which comprises modes over various scales of granularity, thus enabling direct estimation of functional connectivity within- and across-scales. Crucially, mPFMs emerged from data-driven multilevel Bayesian modelling of large functional MRI (fMRI) populations. We demonstrate that mPFMs capture both distributed brain modes and their co-existing subcomponents. In addition to validating mPFMs using simulations and real data, we show that mPFMs can predict ~900 personalised traits from UK Biobank more accurately than current standard techniques. Therefore, mPFMs can offer a paradigm shift in functional connectivity modelling and yield enhanced fMRI biomarkers for traits and diseases.