In order to improve the processing and interpretation of gravity data, multiscale edge theory in image processing is introduced into the study of gravity field. Multiscale edges of gravity anomaly are analyzed based on a special wavelet. It shows that the multiscale edges are the extrema points of the horizontal gravity gradient at different heights, which are related to the sharp discontinuities of underground sources. The applications of multiscale edge in downward continuation and gravity inversion are discussed. The simulated examples show that the multiscale edges can be applied to stabilize the downward continuation operator when the continuation height is low. The multiscale edges also have a convenient application to infer the geometry of the underground source. Moreover, the gravity inversion algorithm based on the multiscale edges has a good antinoise property.