Observations of solar wind turbulence indicate the existence of multi-scale pressure-balanced structures (PBSs) in the solar wind. In this work, we conduct a numerical simulation to investigate multi-scale PBSs and in particular their formation in compressive MHD turbulence. By the use of a higher order Godunov code Athena,a driven compressible turbulence with an imposed uniform guide field is simulated. The simulation results show that both the magnetic pressure and the thermal pressure exhibit a turbulent spectrum with a Kolmogorov-like power law, and that in many regions of the simulation domain they are anti-correlated. The computed wavelet cross-coherence spectrum of the magnetic pressure and the thermal pressure, as well as their space series, indicate the existence of multi-scale PBSs, with the small PBSs being embedded in the large ones. These multi-scale PBSs are likely to be related with the highly oblique-propagating slow-mode waves, as the traced multi-scale PBS is found to be traveling in a certain direction at a speed consistent with that predicted theoretically for a slow-mode wave propagating in the same direction.