In recent years, the short-term power load prediction model built with Recurrent Neural Network (RNN) as main part has achieved excellent performance in short-term power load forecasting. However, RNN cannot effectively capture the multi-scale temporal features in short-term power load data, making it difficult to further improve the load forecasting accuracy. To capture the multi-scale temporal features in short-term power load data, a short-term power load prediction model based on Multi-scale Skip Deep Long Short-Term Memory (MSD-LSTM) was proposed. Specifically, a forecasting model was built with LSTM (Long Short-Term Memory) as main part, which was able to better capture long short-term temporal dependencies, thereby alleviating the problem that important information is easily lost when encountering the long time series. Furthermore, a multi-layer LSTM architecture was adopted and different skip connection numbers were set for the layers, enabling different layers of MSD-LSTM can capture the features with different time scales. Finally, a fully connected layer was introduced to fuse the multi-scale temporal features extracted by different layers, and the obtained fusion feature was used to perform the short-term power load prediction. Experimental results show that compared with LSTM, MSD-LSTM achieves lower Mean Square Error (MSE) with the reduction of 10% in general. It can be seen that MSD-LSTM can better capture multi-scale temporal features in short-term power load data, thereby improving the accuracy of short-term power load forecasting.