Recent advances in convolutional neural networks (CNNs) and transformer-based methods have improved anomaly detection and localization, but challenges persist in precisely localizing small anomalies. While CNNs face limitations in capturing long-range dependencies, transformer architectures often suffer from substantial computational overheads. We introduce a state space model (SSM)-based Pyramidal Scanning Strategy (PSS) for multi-class anomaly detection and localization--a novel approach designed to address the challenge of small anomaly localization. Our method captures fine-grained details at multiple scales by integrating the PSS with a pre-trained encoder for multi-scale feature extraction and a feature-level synthetic anomaly generator. An improvement of +1% AP for multi-class anomaly localization and a +1% increase in AU-PRO on MVTec benchmark demonstrate our method's superiority in precise anomaly localization across diverse industrial scenarios. The code is available at https://github.com/iqbalmlpuniud/Pyramid Mamba.