Abstract This study investigates cross‐scale energy transfer (CET) and scale‐to‐scale energy conversion (SEC) during magnetic reconnection by employing the scale‐filtering approach in a particle‐in‐cell simulation. Our analysis reveals fundamentally distinct CET patterns for electrons and ions. Electron CET is primarily governed by the flow CET. Ion CET is dominated by the thermal CET. Both electrons and ions gain thermal energy through the pressure–strain interaction near their respective inertial scales. The generated thermal energy is transferred back to larger scales via an inverse energy transfer. Electromagnetic CET reverses sign from positive to negative on the sub‐ion scale, corresponding to the electron energy loss, suggesting that the electron flow energy may be the source of electromagnetic energy on the sub‐ion scale. Cross‐scale energy transfer primarily occurs in the diffusion region, exhaust region, reconnection front, and magnetic island. These findings provide critical insights for establishing a comprehensive cross‐scale coupling framework for magnetic reconnection.