Multi-scale entropy (MSE) has been recently established as a promising tool for the analysis of the moment-to-moment variability of neural signals. Appealingly, MSE provides a measure of the predictability of neural operations across the multiple time scales on which the brain operates. An important limitation in the application of the MSE to some classes of neural signals is MSE’s apparent reliance on long time series. However, this sparse-data limitation in MSE computation could potentially be overcome via MSE estimation across shorter time series that are not necessarily acquired continuously (e.g., in fMRI block-designs). In the present study, using simulated, EEG, and fMRI data, we examined the dependence of the accuracy and precision of MSE estimates on the number of data points per segment and the total number of data segments. As hypothesized, MSE estimation across discontinuous segments was comparably accurate and precise, despite segment length. A key advance of our approach is that it allows the calculation of MSE scales not previously accessible from the native segment lengths. Consequently, our results may permit a far broader range of applications of MSE when gauging moment-to-moment dynamics in sparse and/or discontinuous neurophysiological data typical of many modern cognitive neuroscience study designs.