Corrosion is a serious problem, which reduces the efficiency and lifespan of various technologies, such as thermal power plants, aviation, nuclear reactors, etc. It starts from the interactions of corrosive species with alloys to various subsequent processes, such as oxide-formation, growth, and delamination, void and crevices-formation, etc., which all have different lengths and time-spans. Resolving such a problem requires a complete understanding of these processes, necessitating multi-scale computational modeling (MSCM). Available literature focuses mainly on single aspects of corrosion, such as the adsorption of corrosive agents on alloy or cracking, which requires the application of single computational modeling (SCM). Applying SCM is inadequate for addressing and describing some essential corrosion processes as spatial and temporal scales increase, as well as designing corrosion-resistant alloys, which also requires MSCM to couple various properties along their hierarchical structures. Thus, this paper critically and comprehensively reviews the MSCM of high-temperature corrosion and its control. The structure–property relationships during alloy design were discussed. Also, challenges and hot spots for further research directions were identified. We foresee that, in the future, there will be wide applications of MSCM to uncover the hitherto unknown corrosion processes, and alloys will be designed from atomic/molecular structures. Hence, this review paper will provide several computational options for corrosion investigation and connecting alloy structures to properties during alloy designing.