In this paper, we present a multi‐scale model that combines the finite element method (FEM) and the discrete element method (DEM) to study the behaviour of cemented granular materials (CGM) at both the sample (macroscopic) and particle (microscopic) scales, taking into account inter‐ and intra‐granular cracking. At the microscopic scale, the material is made up of Volume Elements (VE) composed of particles. Their mechanical behaviour is modelled by the DEM. In the VEs, we find circular grains (single particles) and meso‐grains; the meso‐grains being made up of clusters of particles linked by strong cohesive bonds. All particles interact via normal/tangential contact and rolling resistance laws with cohesive bonds. At the macroscopic scale, the sample is modelled using the FEM. A VE is assigned to each Gauss point of the mesh; the mechanical response of the VE is used to numerically derive the constitutive response of the material to the strain increment exerted at each point. In the models reported in this paper, localised failures in shear band mode are observed at the macroscopic scale. By performing a microscopic analysis, the results show that the occurrence and development of shear bands give rise locally to a strong evolution of microscopic characteristics such as void ratio, number of contacts (total and debonding contacts), and remarkably by inter‐ and intra‐granular cracking in the case of meso‐grains. Furthermore, the stress and strain tensors non‐coaxiality is clearly demonstrated inside the shear band, but almost negligible outside.