We consider a stochastic differential equation and its Euler-Maruyama (EM) scheme, under some appropriate conditions, they both admit a unique invariant measure, denoted by π and π respectively ( is the step size of the EM scheme). We construct an empirical measure Π of the EM scheme as a statistic of π, and use Stein’s method developed in Fang, Shao and Xu (Probab. Theory Related Fields 174 (2019) 945–979) to prove a central limit theorem of Π. The proof of the self-normalized Cramér-type moderate deviation (SNCMD) is based on a standard decomposition on Markov chain, splitting η/2(Π(.) − π(.)) into a martingale difference series sum H and a negligible remainder R. We handle H by the time-change technique for martingale, while prove that R is exponentially negligible by concentration inequalities, which have their independent interest. Moreover, we show that SNCMD holds for x = o(η), which has the same order as that of the classical result in Shao (J. Theoret. Probab. 12 (1999) 385–398), Jing, Shao and Wang (Ann. Probab. 31 (2003) 2167–2215).