With recent technological advances in tracking devices, movements of numerous animal species can be recorded with a high resolution over large spatial and temporal ranges. This opens promising perspectives for understanding how an animal perceives and reacts to the multi‐scale structure of its environment. Yet, conceptual issues such as confusion between movement scales and searching modes prevent us from properly inferring the movement processes at different scales. Here, I propose to build on stationarity (i.e. stability of statistical parameters) to develop a consistent theoretical framework in which animal movements are modelled as a generic composite multi‐scale multi‐mode random walk model. This framework makes it possible to highlight scales that are relevant to the studied animal, the nature of the behavioural processes that operate at each of these different scales, and the way in which the processes involved at any given scale can interact with those operating at smaller or larger scales. This explicitly scale‐focused approach should help properly analyse actual movements by relating, for each scale and each mode, the values of the main model parameters (speed, short‐ and long‐term persistences, degree of stochasticity) to the animal's needs and skills and its response to its environment at multiple scales.