The strain data acquired from structural health monitoring (SHM) systems play an important role in the state monitoring and damage identification of bridges. Due to the environmental complexity of civil structures, a better understanding of the actual strain data will help filling the gap between theoretical/laboratorial results and practical application. In the study, the multi-scale features of strain response are first revealed after abundant investigations on the actual data from two typical long-span bridges. Results show that, strain types at the three typical temporal scales of $10^5$, $10^2$ and $10^0$ sec are caused by temperature change, trains and heavy trucks, and have their respective cut-off frequency in the order of $10^{-2}$, $10^{-1}$ and $10^0$ Hz. Multi-resolution analysis and wavelet shrinkage are applied for separating and extracting these strain types. During the above process, two methods for determining thresholds are introduced. The excellent ability of wavelet transform on simultaneously time-frequency analysis leads to an effective information extraction. After extraction, the strain data will be compressed at an attractive ratio. This research may contribute to a further understanding of actual strain data of long-span bridges; also, the proposed extracting methodology is applicable on actual SHM systems.