Biological tissue damage monitoring is an indispensable part of high-intensity focused ultrasound (HIFU) treatment. As a nonlinear method, multi-scale permutation entropy (MPE) is widely used in the monitoring of biological tissue. However, the traditional MPE method neglects the amplitude information when calculating the time series complexity, and the stability of MPE is poor due to the defects in the coarse-grained process. In order to solve the above problems, the method of improved coarse-grained multi-scale weighted permutation entropy (IMWPE) is proposed in this paper. Compared with the MPE, the IMWPE method not only includes the amplitude of signal when calculating the signal complexity, but also improves the stability of entropy value. The IMWPE method is applied to the HIFU echo signals during HIFU treatment, and the probabilistic neural network (PNN) is used for monitoring the biological tissue damage. The results show that compared with multi-scale sample entropy (MSE)-PNN and MPE-PNN methods, the proposed IMWPE-PNN method can correctly identify all the normal tissues, and can more effectively identify damaged tissues and denatured tissues. The recognition rate for the three kinds of biological tissues is higher, up to 96.7%. This means that the IMWPE-PNN method can better monitor the status of biological tissue damage during HIFU treatment.