Tropical cyclone (TC) damage function (DF) is widely used to model TC‐event level damage and thus assess the TC risk for a country or region. The scalability of these DFs at more localized scales, such as the province scale, has not been systematically explored. We use a unique Chinese data set to examine the damage at the TC‐event scale and province scale. Our results show that the parameters and performance of TC DF are spatially dependent. For a sigmoidal DF, the parameter dependence is manifested by a flatter curve calibrated on the TC‐event scale compared to the province scale. In the case of a power‐law DF, the dependence of its parameters is evident in the statistically more significant coefficients of the explanatory variables that are aggregated to the TC‐event scale, compared to the province scale. Performance comparison results further reveal that the scale dependence of performance is related to the type of DF. Integrating hazard, exposure, and vulnerability, the power‐law DF complements the typical sigmoidal DF, producing more accurate estimates of direct economic loss and annual average damage at both the TC‐event and province scales. However, its performance, compared to that of the sigmoidal DF, is more influenced by the scale at which it is calibrated. Our findings elucidate scale‐related research questions in TC risk assessment, offer insights into the selection of DFs, and inspire the future prospect of using multiple DFs to reduce the functional uncertainty.