Multiscale thermodynamics is a theory of the relations among the levels of investigation of complex systems. It includes the classical equilibrium thermodynamics as a special case, but it is applicable to both static and time evolving processes in externally and internally driven macroscopic systems that are far from equilibrium and are investigated at the microscopic, mesoscopic, and macroscopic levels. In this paper we formulate multiscale thermodynamics, explain its origin, and illustrate it in mesoscopic dynamics that combines levels.