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Effectively integrating multi-scale information is of considerable significance for the challenging multi-class segmentation of fundus lesions because different lesions vary significantly in scales and shapes. Several methods have been proposed to successfully handle the multi-scale object segmentation. However, two issues are not considered in previous studies. The first is the lack of interaction between adjacent feature levels, and this will lead to the deviation of high-level features from low-level features and the loss of detailed cues. The second is the conflict between the low-level and high-level features, this occurs because they learn different scales of features, thereby confusing the model and decreasing the accuracy of the final prediction. In this paper, we propose a progressive multi-scale consistent network (PMCNet) that integrates the proposed progressive feature fusion (PFF) block and dynamic attention block (DAB) to address the aforementioned issues. Specifically, PFF block progressively integrates multi-scale features from adjacent encoding layers, facilitating feature learning of each layer by aggregating fine-grained details and high-level semantics. As features at different scales should be consistent, DAB is designed to dynamically learn the attentive cues from the fused features at different scales, thus aiming to smooth the essential conflicts existing in multi-scale features. The two proposed PFF and DAB blocks can be integrated with the off-the-shelf backbone networks to address the two issues of multi-scale and feature inconsistency in the multi-class segmentation of fundus lesions, which will produce better feature representation in the feature space. Experimental results on three public datasets indicate that the proposed method is more effective than recent state-of-the-art methods.