In this paper, a finite-volume discrete unified gas kinetic scheme (DUGKS) based on the non-gray phonon transport model is developed for multiscale heat transfer problem with arbitrary temperature difference. Under large temperature difference, the phonon Boltzmann transport equation (BTE) is essentially multiscale, not only in the frequency space, but also in the spatial space. In order to realize the efficient coupling of the multiscale phonon transport, the phonon scattering and advection are coupled together in the present scheme on the reconstruction of the distribution function at the cell interface. The Newtonian method is adopted to solve the nonlinear scattering term for the update of the temperature at both the cell center and interface. In addition, the energy at the cell center is updated by a macroscopic equation instead of taking the moment of the distribution function, which enhances the numerical conservation. Numerical results prove that the present scheme can describe the multiscale heat transfer phenomena accurately with arbitrary temperature difference in a wide range. In the diffusive regime, even if the time step is larger than the relaxation time, the present scheme can capture the transient thermal transport process accurately. Compared to that under small temperature differences, as the temperature difference increases, the variation of the temperature distribution behaves quite differently and the average temperature in the domain increases in the ballistic regime but decreases in the diffusive regime. (C) 2019 Elsevier Ltd. All rights reserved.