Most scenes in practical applications are dynamic scenes containing moving objects, so segmenting accurately moving objects is crucial for many computer vision applications. In order to efficiently segment out all moving objects in the scene, regardless of whether the object has a predefined semantic label, we propose a two-level nested Octave U-structure network with a multiscale attention mechanism called U2-ONet. Each stage of U2-ONet is filled with our newly designed Octave ReSidual U-block (ORSU) to enhance the ability to obtain more context information at different scales while reducing spatial redundancy of feature maps. In order to efficiently train our multi-scale deep network, we introduce a hierarchical training supervision strategy that calculates the loss at each level while adding a knowledge matching loss to keep the optimization consistency. Experimental results show that our method achieves state-of-the-art performance in several general moving objects segmentation datasets.