I think you'd struggle to find a single set of rules that covers everything from skirmishes to mass battles; the shift from heroic action to rank'n'flank is a pretty big one.
As Aerendar and Severian have said, Crom! is great for the small-scale stuff. Any of the tried-and-trusted skirmish rules could work well, though: Song of Blades and Heroes, Pulp Alley or Fistful of Lead, for example. But Crom! has the flavour built in. They're all eminently affordable in PDF, though, so you could try out a few and see which works best.
For the large-scale stuff, it's hard to go wrong with Hordes of the Things. It also has the advantages of offering large-scale battles with a relatively low figure requirement (maybe 20-30 for a hero-heavy army) and of having a pretty comprehensive set of Hyborian army lists in the rulebook. You can scale up the game to any size just by adding more commands.