The prediction of Remaining useful life (RUL) and the estimation of State of health (SOH) are extremely important issues for operating performance of Lithium‐ion (Li‐ion) batteries in the Battery management system (BMS). A multi‐scale prediction approach of RUL and SOH is presented, which combines Wavelet neural network (WNN) with Unscented particle filter (UPF) model. The capacity degradation data of Li‐ion batteries are decomposed into the low‐frequency degradation trend and high‐frequency fluctuation components by Discrete wavelet transform (DWT). Based on the WNN‐UPF model, the long‐term RUL of Li‐ion batteries is predicted with the low‐frequency degradation trend data. The high‐frequency fluctuation data and RUL prediction results are integrated effectively to estimate the short‐term SOH of Li‐ion batteries. The experimental results show that the proposed method achieves high accuracy and strong robustness, even if the prediction starting point is set to the early stage of Li‐ion batteries' lifespan.