Cellular bulk metallic glasses (BMGs) have exhibited excellent energy-absorption performance by inheriting superior strength from the parent BMGs. However, how to achieve high energy absorption capacity in cellular BMGs is vital but mysterious. In this work, using step-by-step observations of the deformation evolution of a series of cellular BMGs, the underlying mechanisms for the remarkable energy absorption capacity have been investigated by studying two influencing key factors: the peak stress and the decay of the peak stress during the plastic-flow plateau stages. An analytical model of the peak stress has been proposed, and the predicted results agree well with the experimental data. The decay of the peak stress has been attributed to the geometry change of the macroscopic cells, the formation of shear bands in the middle of the struts, and the “work-softening” nature of BMGs. The influencing factors such as the effect of the strut thickness and the number of unit cells have also been investigated and discussed. Strategies for achieving higher energy absorption capacity in cellular BMGs have been proposed.