In this paper, some structural characteristics of the fuzzy number-valued fuzzy measure on the fuzzy σ-algebra are discussed. On the fuzzy number-valued fuzzy measure space, the concepts of ‘almost’ and ‘pseudo-almost’ are introduced, and Riesz's theorem, Lebesgue's theorem and Egoroff's theorem for sequences of fuzzy measurable functions and some convergence theorems for sequences of fuzzy number-valued fuzzy integrals on fuzzy sets are proved by some structural characteristics of the fuzzy number-valued fuzzy measure.