Considering the energy consumption and specific performance requirements of mining trucks, a novel uninterrupted multi-speed transmission is proposed in this paper, which is composed of a power-split device, and a three-speed lay-shaft transmission with a traction motor. The power-split device is adapted to enhance the efficiency of the engine by adjusting the gear ratio continuously. The three-speed lay-shaft transmission is designed based on the efficiency map of traction motor to guarantee the drivability. The combination of the power-split device and three-speed lay-shaft transmission can realize uninterrupted gear shifting with the proposed shift strategy, which benefits from the proposed adjunct function by adequately compensating the torque hole. The detailed dynamic models of the system are built to verify the effectiveness of the proposed shift strategy. To evaluate the maximum fuel efficiency that the proposed uninterrupted multi-speed transmission could achieve, dynamic programming is implemented as the baseline. Due to the “dimension curse” of dynamic programming, a real-time control strategy is designed, which can significantly improve the computing efficiency. The simulation results demonstrate that the proposed uninterrupted multi-speed transmission with dynamic programming and real-time control strategy can improve fuel efficiency by 11.63% and 8.51% compared with conventional automated manual transmission system, respectively.