Automotive bumper beam is a vital component that shields passenger and vehicle from harm and damage generated by catastrophic collapse. Previous investigations on its bending behavior have largely concentrated on multi-cell tubes with the same length, whereas stepped multi-cell structures have received less attention. In this paper, a novel stepped multi-cell configuration is proposed to improve the energy absorption characteristics of thin-walled structures under transverse loading. The finite element method is employed to analyze the crushing behaviors of the stepped multi-cell tubes. The numerical results reveal that the stepped multi-cell structures (SM2 to SM5) can reduce the initial peak force by 23.44–45.91% while increasing the energy absorption capacity, crush load efficiency, and specific energy absorption by 5.87–29.51, 38.29–139.45, and 5.87–29.51%, respectively, when compared to a conventional square tube (M1). In addition, the effects of wall thickness, section width, load angle, punch radius, and punch shape on the bending behaviors and energy absorption characteristics are examined. The results indicate that these factors have a considerable influence on the deformation features of M1 and SM2, which leads to a significant reduction in their bending energy absorption characteristics. These variables have no influence on the deformation modes of SM3, SM4, and SM5, and they present local indentation deformation with a high energy absorption efficiency. Increasing the number of layers improves the comprehensive performance of stepped multi-cell tubes, with SM5 exhibiting the best energy absorption characteristics under transverse loading.