Based on some conclusions of two kinds of concrete-filled double skin steel tube (CFDSST) members with circular or square sections, a new kind of CFDSST with octagonal section, where the outer tube has an octagonal section and the inner tube has a circular section, is proposed in this paper. Behaviors of the CFDSST members with octagon section subjected to axial compression are investigated, and some curves of load-strain of steel tubes and confined concrete and the bearing capacity of members are obtained. It is indicated that the bearing capacity of the columns with octagonal section is larger than that with square section and is smaller than that with circular section, and the bearing capacity of members is related to the ratio of the straight side to the bevelled one. Based on the proper stress-strain relationship, a couple of numerical analyses are made using the finite element software named ANSYS. Finally, a simplified formula is proposed in the paper, and the numerical results agree well with the experimental results and the mathematical solutions. The results are valuable for engineers.