Covering option discovery has been developed to improve the exploration of RL in single-agent scenarios with sparse reward signals, through connecting the most distant states in the embedding space provided by the Fiedler vector of the state transition graph. Given that joint state space grows exponentially with the number of agents in multi-agent systems, existing researches still relying on single-agent option discovery either become prohibitive or fail to directly discover joint options that improve the connectivity of the joint state space. In this paper, we show how to directly compute multi-agent options with collaborative exploratory behaviors while still enjoying the ease of decomposition. Our key idea is to approximate the joint state space as a Kronecker graph, based on which we can directly estimate its Fiedler vector using the Laplacian spectrum of individual agents' transition graphs. Further, considering that directly computing the Laplacian spectrum is intractable for tasks with infinite-scale state spaces, we further propose a deep learning extension of our method by estimating eigenfunctions through NN-based representation learning techniques. The evaluation on multi-agent tasks built with simulators like Mujoco, shows that the proposed algorithm can successfully identify multi-agent options, and significantly outperforms the state-of-the-art. Codes are available at: https://github.itap.purdue.edu/Clan-labs/ScalableMAODvia_KP.