Being capable of passively capturing transient scenes occurring in picoseconds and even shorter time with an extremely large sequence depth in a snapshot, compressed ultrafast photography (CUP) has aroused tremendous attention in ultrafast optical imaging. However, the high compression ratio induced by large sequence depth brings the problem of low image quality in image reconstruction, preventing CUP from observing transient scenes with fine spatial information. To overcome these restrictions, we propose an efficient image reconstruction algorithm with multi-scale (MS) weighted denoising based on the plug-and-play (PnP) based alternating direction method of multipliers (ADMM) framework for multi-channel coupled CUP (MC-CUP), named the MCMS-PnP algorithm. By removing non-Gaussian distributed noise using weighted MS denoising during each iteration of the ADMM, and adaptively adjusting the weights via sufficiently exploiting the coupling information among different acquisition channels collected by MC-CUP, a synergistic combination of hardware and algorithm can be realized to significantly improve the quality of image reconstruction. Both simulation and experimental results demonstrate that the proposed adaptive MCMS-PnP algorithm can effectively improve the accuracy and quality of reconstructed images in MC-CUP, and extend the detectable range of CUP to transient scenes with fine structures.