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The multi-scale asynchronous fusion can effectively increase the accuracy of integrated navigation system, but the existing multi-scale asynchronous fusion algorithm has the characteristic of heavy computational burden and requires the data output rates of auxiliary navigation sensors to meet unrealistic special requirements. To solve this problem, a multi-scale asynchronous fusion algorithm for the multi-sensor integrated navigation system is presented based on state block vector and wavelet transform. This algorithm first converts the system\u2019s original state equation into the relationship between the state block vector and the state point vector to obtain the state equation of the multi-scale dynamic system, and expresses the original measurement equation as the relationship with the state block vector to obtain the measurement equation of the multi-scale dynamic system. Then, the special implementation process of this algorithm is studied and expressed in details, on the basis of the matrix operator with scale and wavelet property. Finally, a multi-sensor integrated navigation system composed of strapdown inertial navigation system, celestial navigation system, global navigation satellite system, and air data system is designed and experimented validation analysis. Experiment results show that this algorithm can significantly reduce the average root mean square error and improve the accuracy of navigation parameters, compared with asynchronous preprocessing Kalman filter and asynchronous direct Kalman filter. 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