Most studies of ethnic residential segregation that address the issue of spatial scale make it implicit – if not explicit – that segregation is greater at smaller than larger scales. Such studies, however, invariably measure segregation separately at those scales, and take no account of the fact that measures at the smaller scale necessarily incorporate that at any larger scales. The present paper rectifies that situation by, for the first time, modelling ethnic segregation in London at the 2001 and 2011 censuses within a Bayesian statistical framework at three scales, which allows for the statistical significance of any changes to be formally assessed – something not possible before. It finds that for many of the groups studied segregation was as great, if not greater, at the macro‐scale as at the micro‐scale, with both measures larger than at the meso‐scale, with significant reductions in segregation across the decade, especially at the micro‐scale.