Colocalization analysis aims to study complex spatial associations between bio-molecules via optical imaging techniques. However, existing colocalization analysis workflows only assess an average degree of colocalization within a certain region of interest and ignore the unique and valuable spatial information offered by microscopy. In the current work, we introduce a new framework for colocalization analysis that allows us to quantify colocalization levels at each individual location and automatically identify pixels or regions where colocalization occurs. The framework, referred to as spatially adaptive colocalization analysis (SACA), integrates a pixel-wise local kernel model for colocalization quantification and a multi-scale adaptive propagation-separation strategy for utilizing spatial information to detect colocalization in a spatially adaptive fashion. Applications to simulated and real biological datasets demonstrate the practical merits of SACA in what we hope to be an easily applicable and robust colocalization analysis method. In addition, theoretical properties of SACA are investigated to provide rigorous statistical justification.