Desert segmentation of remote sensing images is the basis of analysis of desert area. Desert images are usually characterized by large image size, large-scale change, and irregular location distribution of surface objects. The multi-scale fusion method is widely used in the existing deep learning segmentation models to solve the above problems. Based on the idea of multi-scale feature extraction, this paper took the segmentation results of each scale as an independent optimization task and proposed a multi-resolution supervision network (MrsSeg) to further improve the desert segmentation result. Due to the different optimization difficulty of each branch task, we also proposed an auxiliary adaptive weighted loss function (AWL) to automatically optimize the training process. MrsSeg first used a lightweight backbone to extract different-resolution features, then adopted a multi-resolution fusion module to fuse the local information and global information, and finally, a multi-level fusion decoder was used to aggregate and merge the features at different levels to get the desert segmentation result. In this method, each branch loss was treated as an independent task, AWL was proposed to calculate and adjust the weight of each branch. By giving priority to the easy tasks, the improved loss function could effectively improve the convergence speed of the model and the desert segmentation result. The experimental results showed that MrsSeg-AWL effectively improved the learning ability of the model and has faster convergence speed, lower parameter complexity, and more accurate segmentation results.