Precise classification of histopathological images is crucial to computer-aided diagnosis in clinical practice. Magnification-based learning networks have attracted considerable attention for their ability to improve performance in histopathological classification. However, the fusion of pyramids of histopathological images at different magnifications is an under-explored area. In this paper, we proposed a novel deep multi-magnification similarity learning (DSML) approach that can be useful for the interpretation of multi-magnification learning framework and easy to visualize feature representation from low-dimension (e.g., cell-level) to high-dimension (e.g., tissue-level), which has overcome the difficulty of understanding cross-magnification information propagation. It uses a similarity cross entropy loss function designation to simultaneously learn the similarity of the information among cross-magnifications. In order to verify the effectiveness of DMSL, experiments with different network backbones and different magnification combinations were designed, and its ability to interpret was also investigated through visualization. Our experiments were performed on two different histopathological datasets: a clinical nasopharyngeal carcinoma and a public breast cancer BCSS2021 dataset. The results show that our method achieved outstanding performance in classification with a higher value of area under curve, accuracy, and F-score than other comparable methods. Moreover, the reasons behind multi-magnification effectiveness were discussed.