The $n$-Lie bialgebras are studied. In Section 2, the $n$-Lie coalgebra with rank $r$ is defined, and the structure of it is discussed. In Section 3, the $n$-Lie bialgebra is introduced. A triple $(L, mu, Delta)$ is an $n$-Lie bialgebra if and only if $Delta$ is a conformal $1$-cocycle on the $n$-Lie algebra $L$ associated to $L$-modules $(L^{otimes n}, rho_s^{mu})$, $1leq sleq n$, and the structure of $n$-Lie bialgebras is investigated by the structural constants. In Section 4, two-dimensional extension of finite dimensional $n$-Lie bialgebras are studied. For an $m$ dimensional $n$-Lie bialgebra $(L, mu, Delta)$, and an $ad_{mu}$-invariant symmetric bilinear form on $L$, the $m+2$ dimensional $(n+1)$-Lie bialgebra is constructed. In the last section, the bialgebra structure on the finite dimensional simple $n$-Lie algebra $A_n$ is discussed. It is proved that only bialgebra structures on the simple $n$-Lie algebra $A_n$ are rank zero, and rank two.