This paper links at the formal level the entropy structure of a multi-species cross-diffusion system of Shigesada-Kawasaki-Teramoto (SKT) type satisfying the detailed balance condition with the entropy structure of a reversible microscopic many-particle Markov process on a discretised space. The link is established by first performing a mean-field limit to a master equation over discretised space. Then the spatial discretisation limit is performed in a completely rigorous way. This by itself provides a novel strategy for proving global existence of weak solutions to a class of cross-diffusion systems.