We construct a compactification of the moduli spaces of abelian differentials on Riemann surfaces with prescribed zeroes and poles. This compactification, called the moduli space of multi-scale differentials, is a complex orbifold with normal crossing boundary. Locally, our compactification can be described as the normalization of an explicit blowup of the incidence variety compactification, which was defined in [BCGGM18] as the closure of the stratum of abelian differentials in the closure of the Hodge bundle. We also define families of projectivized multi-scale differentials, which gives a proper Deligne-Mumford stack, and our compactification is the orbifold corresponding to it. Moreover, we perform a real oriented blowup of the unprojectivized moduli space of multi-scale differentials such that the $mathrm{SL}_2(mathbb R)$-action in the interior of the moduli space extends continuously to the boundary.