This study utilizes a new functional analysis tool, multiscale window transform (MWT), to decompose the ocean circulation system in the Bay of Bengal (BOB) into three scale windows, namely, the background flow window (>96 days), the mesoscale window (24–96 days) and the high-frequency window (<24 days), and then uses the canonical energy transfer theory to investigate the intrinsic nonlinear multiscale interactions among these windows, on the basis of an eddy-resolving model simulation. It is found that multiscale interactions are strongest along the northwestern boundary and east of Sri Lanka. With intense barotropic and baroclinic instabilities, the canonical transfers of kinetic energy (KE) and available potential energy (APE) are mainly forward in these two regions. Mesoscale eddy kinetic energy (EKE) reservoir is mainly filled by the barotropic energy pathway with the kinetic energy of the background flow transferring to EKE, and secondarily from the baroclinic energy pathway with APE of the background flow transferring to the mesoscale APE and further converting to EKE. The gained EKE is found to further cascade to high-frequency motions, acting as an important dissipation mechanism of the mesoscale eddies in these regions. In contrast, the central BOB is mainly characterized by inverse KE cascades, where EKE and high-frequency kinetic energy (HKE) are gained via the baroclinic energy pathway, and then feed the background flow through inverse cascade processes. The northwest of Sumatra is also an area with strong mesoscale and high-frequency variability. Both barotropic and baroclinic energy pathways are the sources for EKE and HKE reservoirs in this region, with the baroclinic energy pathway playing the dominant role.