The capabilities of (I) learning transferable knowledge across domains; and (II) fine-tuning the pre-learned base knowledge towards tasks with considerably smaller data scale are extremely important. Many of the existing transfer learning techniques are supervised approaches, among which deep learning has the demonstrated power of learning domain transferrable knowledge with large scale network trained on massive amounts of labeled data. However, in many biomedical tasks, both the data and the corresponding label can be very limited, where the unsupervised transfer learning capability is urgently needed. In this paper, we proposed a novel multi-scale convolutional sparse coding (MSCSC) method, that (I) automatically learns filter banks at different scales in a joint fashion with enforced scale-specificity of learned patterns; and (II) provides an unsupervised solution for learning transferable base knowledge and fine-tuning it towards target tasks. Extensive experimental evaluation of MSCSC demonstrates the effectiveness of the proposed MSCSC in both regular and transfer learning tasks in various biomedical domains.