Unlike typical video action recognition, Dynamic Facial Expression Recognition (DFER) does not involve distinct moving targets but relies on localized changes in facial muscles. Addressing this distinctive attribute, we propose a Multi-Scale Spatio-temporal CNN-Transformer network (MSSTNet). Our approach takes spatial features of different scales extracted by CNN and feeds them into a Multi-scale Embedding Layer (MELayer). The MELayer extracts multi-scale spatial information and encodes these features before sending them into a Temporal Transformer (T-Former). The T-Former simultaneously extracts temporal information while continually integrating multi-scale spatial information. This process culminates in the generation of multi-scale spatio-temporal features that are utilized for the final classification. Our method achieves state-of-the-art results on two in-the-wild datasets. Furthermore, a series of ablation experiments and visualizations provide further validation of our approach's proficiency in leveraging spatio-temporal information within DFER.