The structure-property relationships on different length scales and their connections to the macroscopic piezoelectric and dielectric properties are one of the most fascinating topics of relaxor ferroelectrics and need to be further explored. Here, we provide structural insights into the gap between the short-range structure and the long-range structure of the classical relaxor ferroelectric lead magnesium niobate (PMN) using a combination of theoretical simulations and pair distribution function (PDF) analysis. Our study shows that PMN exhibits a disordered low-symmetry structure at the smallest length scale (1–10 Å) and a cubic crystallographic average structure at large length scale. A rhombohedral phase is observed at the intermediate length scale (∼ 20–70 Å), resulting from chemical ordered regions with the ordered local electric field and associated quasi-correlated Pb displacements. Our work advances the understanding of the structures of relaxor ferroelectrics at different length scales and the relationships among them.