Face sketch synthesis, as a key technique for solving face sketch recognition, has made considerable progress in recent years. Due to the difference of modality between face photo and face sketch, traditional exemplar-based methods often lead to missed texture details and deformation while synthesizing sketches. And limited to the local receptive field, Convolutional Neural Networks-based methods cannot deal with the interdependence between features well, which makes the constraint of facial features insufficient; as such, it cannot retain some details in the synthetic image. Moreover, the deeper the network layer is, the more obvious the problems of gradient disappearance and explosion will be, which will lead to instability in the training process. Therefore, in this paper, we propose a multi-scale gradients self-attention residual learning framework for face photo-sketch transformation that embeds a self-attention mechanism in the residual block, making full use of the relationship between features to selectively enhance the characteristics of specific information through self-attention distribution. Simultaneously, residual learning can keep the characteristics of the original features from being destroyed. In addition, the problem of instability in GAN training is alleviated by allowing discriminator to become a function of multi-scale outputs of the generator in the training process. Based on cycle framework, the matching between the target domain image and the source domain image can be constrained while the mapping relationship between the two domains is established so that the tasks of face photo-to-sketch synthesis (FP2S) and face sketch-to-photo synthesis (FS2P) can be achieved simultaneously. Both Image Quality Assessment (IQA) and experiments related to face recognition show that our method can achieve state-of-the-art performance on the public benchmarks, whether using FP2S or FS2P.