We present a multiscale integrationist interpretation of the boundaries of cognitive systems, using the Markov blanket formalism of the variational free energy principle. This interpretation is intended as a corrective for the philosophical debate over internalist and externalist interpretations of cognitive boundaries; we stake out a compromise position. We first survey key principles of new radical views of cognition. We then describe an internalist interpretation premised on the Markov blanket formalism. Having reviewed these accounts, we develop our positive multiscale account. We argue that the statistical seclusion of internal from external states of the system—entailed by the existence of a Markov boundary—can coexist happily with the multiscale integration of the system through its dynamics. Our approach does not privilege any given boundary, nor does it argue that all boundaries are equally prescient. We argue that the relevant boundaries of cognition depend on the level being characterised and the explanatory interests that guide investigation. We approach the issue of how and where to draw the boundaries of cognitive systems through a multiscale ontology of cognitive systems, which offers a multidisciplinary research heuristic for cognitive science.