Continuous adaptations of the movement system to changing environments or task demands rely on superposed fractal processes exhibiting power laws, that is, multifractality. The estimators of the multifractal spectrum potentially reflect the adaptive use of perception, cognition, and action. To observe time-specific behavior in multifractal dynamics, a multiscale multifractal analysis based on DFA (MFMS-DFA) has been recently proposed and applied to cardiovascular dynamics. Here we aimed at evaluating whether MFMS-DFA allows identifying multiscale structures in the dynamics of human movements. Thirty-six (12 females) participants pedaled freely, after a metronomic initiation of the cadence at 60 rpm, against a light workload for 10 min: in reference to cycling (C), cycling while playing “Tetris” on a computer, alone (CT) or collaboratively (CTC) with another pedaling participant. Pedal revolution periods (PRP) series were examined with MFMS-DFA and compared to linearized surrogates, which attested to a presence of multifractality at almost all scales. A marked alteration in multifractality when playing Tetris was evidenced at two scales, τ ≈ 16 and τ ≈ 64 s, yet less marked at τ ≈ 16 s when playing collaboratively. Playing Tetris in collaboration attenuated these alterations, especially in the best Tetris players. This observation suggests the high sensitivity to cognitive demand of MFMS-DFA estimators, extending to the assessment of skill/demand interplay from individual behavior. So, by identifying scale-dependent multifractal structures in movement dynamics, MFMS-DFA has obvious potential for examining brain-movement coordinative structures, likely with sufficient sensitivity to find echo in diagnosing disorders and monitoring the progress of diseases that affect cognition and movement control.