Building change detection (BCD) from remote sensing images is an essential field for urban studies. In this well-developed field, Convolutional Neural Networks (CNNs) and Transformer have been leveraged to empower BCD models in handling multi-scale information. However, it is still challenging to accurately detect subtle changes using current models, which has been the main bottleneck to improving detection accuracy. In this paper, a multi-scale differential feature self-attention network (MDFA-Net) is proposed to effectively integrate CNN and Transformer by balancing the global receptive field from the self-attention mechanism and the local receptive field from convolutions. In MDFA-Net, two innovative modules were designed. Particularly, a hierarchical multi-scale dilated convolution (HMDConv) module was proposed to extract local features with hybrid dilation convolutions, which can ameliorate the effect of CNN’s local bias. In addition, a differential feature self-attention (DFA) module was developed to implement the self-attention mechanism at multi-scale difference feature maps to overcome the problem that local details may be lost in the global receptive field in Transformer. The proposed MDFA-Net achieves state-of-the-art accuracy performance in comparison with related works, e.g., USSFC-Net, in three open datasets: WHU-CD, CDD-CD, and LEVIR-CD. Based on the experimental results, MDFA-Net significantly exceeds other models in F1 score, IoU, and overall accuracy; the F1 score is 93.81%, 95.52%, and 91.21% in WHU-CD, CDD-CD, and LEVIR-CD datasets, respectively. Furthermore, MDFA-Net achieved first or second place in precision and recall in the test in all three datasets, which indicates its better balance in precision and recall than other models. We also found that subtle changes, i.e., small-sized building changes and irregular boundary changes, are better detected thanks to the introduction of HMDConv and DFA. To this end, with its better ability to leverage multi-scale differential information than traditional methods, MDFA-Net provides a novel and effective avenue to integrate CNN and Transformer in BCD. Further studies could focus on improving the model’s insensitivity to hyper-parameters and the model’s generalizability in practical applications.