Multiscale entropy (MSE) provides information-domain measures of the systems’ complexity. The increasing interest in MSE of the cardiovascular system lies in the possibility of detecting interactions with other regulatory systems, as higher neural networks. However, most of the MSE studies considered the heart-rate (HR) series only and a limited number of scales: actually, an integrated approach investigating HR and blood-pressure (BP) entropies and cross-entropy over the range of scales of traditional spectral analyses is missing. Therefore, we aim to highlight influences of higher brain centers and of the autonomic control on multiscale entropy and cross-entropy of HR and BP over a broad range of scales, by comparing different behavioral states over 24 h and by evaluating the influence of hypertension, which reduces the autonomic control of BP. From 24-h BP recordings in eight normotensive and eight hypertensive participants, we selected subperiods during daytime activities and nighttime sleep. In each subperiod, we derived a series of 16,384 consecutive beats for systolic BP (SBP), diastolic BP (DBP), and pulse interval (PI). We applied a modified MSE method to obtain robust estimates up to time scales of 334 s, covering the traditional frequency bands of spectral analysis, for three embedding dimensions and compared groups (rank-sum test) and conditions (signed-rank test) at each scale. Results demonstrated night-and-day differences at scales associable with modulations in vagal activity, in respiratory mechanics, and in local vascular regulation, and reduced SBP-PI cross-entropy in hypertension, possibly representing a loss of complexity due to an impaired baroreflex sensitivity.