The objective of this paper is to tackle the issue of the degraded navigation accuracy of the inertial navigation system/global navigation satellite system (INS/GNSS) integrated navigation system in urban applications, especially under complex environments. This study utilizes historical state estimates and proposes a multi-step pseudo-measurement adaptive Kalman filter (MPKF) algorithm based on the filter performance evaluation. First, taking advantage of the independence between INS and GNSS, the enhanced second-order mutual difference (SOMD) algorithm is utilized for estimating the noise variance of the GNSS, which is decoupled from the estimate error of state and used as a module for filter performance evaluation. Then, the construction of the proposed method is presented, together with the analysis of the noise variance of multi-step pseudo-measurement. Ultimately, the efficacy of the MPKF is confirmed through a real-world vehicle experiment involving a tightly-coupled INS/GNSS integrated navigation application, demonstrating a noteworthy enhancement in navigation precision within densely wooded and built-up areas. Compared to the standard EKF and enhanced redundant measurement-based adaptive Kalman filter (ERMAKF), the proposed algorithm improves the positioning accuracy by 48% and 34%, velocity accuracy by 50% and 35%, and attitude accuracy by 38% and 48%, respectively, in the urban building segment.