Multi-Weyl semimetals are new types of Weyl semimetals which have anisotropic non-linear energy dispersion and a topological charge larger than one, thus exhibiting a unique quantum response. Using a unified lattice model, we calculate the optical conductivity numerically in the multi-Weyl semimetal phase and in its neighboring gapped states, and obtain the characteristic frequency dependence of each phase analytically using a low-energy continuum model. The frequency dependence of longitudinal and transverse optical conductivities obeys scaling relations that are derived from the winding number of the parent multi-Weyl semimetal phase and can be used to distinguish these electronic states of matter.