In this paper, we present a multiscale framework for solving the Helmholtz equation in heterogeneous media without scale separation and in the high frequency regime where the wavenumber $k$ can be large. The main innovation is that our methods achieve a nearly exponential rate of convergence with respect to the computational degrees of freedom, using a coarse grid of mesh size $O(1/k)$ without suffering from the well-known pollution effect. The key idea is a coarse-fine scale decomposition of the solution space that adapts to the media property and wavenumber; this decomposition is inspired by the multiscale finite element method. We show that the coarse part is of low complexity in the sense that it can be approximated with a nearly exponential rate of convergence via local basis functions, while the fine part is local such that it can be computed efficiently using the local information of the right hand side. The combination of the two parts yields the overall nearly exponential rate of convergence. We demonstrate the effectiveness of our methods theoretically and numerically; an exponential rate of convergence is consistently observed and confirmed. In addition, we observe the robustness of our methods regarding the high contrast in the media numerically.