Cardiovascular systems essentially have multiscale control mechanisms. Multiscale entropy (MSE) analysis permits the dynamic characterization of the cardiovascular time series for both short-term and long-term processes, and thus can be more illuminating. The traditional MSE analysis for heart rate variability (HRV) is performed on the original RR interval time series (named as MSE_RR). In this study, we proposed an MSE analysis for the differential RR interval time series signal, named as MSE_dRR. The motivation of using the differential RR interval time series signal is that this signal has a direct link with the inherent non-linear property of electrical rhythm of the heart. The effectiveness of the MSE_RR and MSE_dRR were tested and compared on the long-term MIT-Boston's Beth Israel Hospital (MIT-BIH) 54 normal sinus rhythm (NSR) and 29 congestive heart failure (CHF) RR interval recordings, aiming to explore which one is better for distinguishing the CHF patients from the NSR subjects. Four RR interval length for analysis were used (N = 500, N = 1000, N = 2000 and N = 5000). The results showed that MSE_RR did not report significant differences between the NSR and CHF groups at several scales for each RR segment length type (Scales 7, 8 and 10 for N = 500, Scales 3 and 10 for N = 1000, Scales 2 and 3 for both N = 2000 and N = 5000). However, the new MSE_dRR gave significant separation for the two groups for all RR segment length types except N = 500 at Scales 9 and 10. The area under curve (AUC) values from the receiver operating characteristic (ROC) curve were used to further quantify the performances. The mean AUC of the new MSE_dRR from Scales 1-10 are 79.5%, 83.1%, 83.5% and 83.1% for N = 500, N = 1000, N = 2000 and N = 5000, respectively, whereas the mean AUC of MSE_RR are only 68.6%, 69.8%, 69.6% and 67.1%, respectively. The five-fold cross validation support vector machine (SVM) classifier reports the classification Accuracy (Acc) of MSE_RR as 73.5%, 75.9% and 74.6% for N = 1000, N = 2000 and N = 5000, respectively, while for the new MSE_dRR analysis accuracy was 85.5%, 85.6% and 85.6%. Different biosignal editing methods (direct deletion and interpolation) did not change the analytical results. In summary, this study demonstrated that compared with MSE_RR, MSE_dRR reports better statistical stability and better discrimination ability for the NSR and CHF groups.