A multi-step annealing method was successfully applied to inclusions reduction and resistivity improvement of CdMnTe:In (CMT:In) single crystals with high resistivity, including a Cd atmosphere annealing step followed by a Te atmosphere annealing step. After the Cd atmosphere annealing step, the density of Te inclusions was reduced distinctly, and it could be also decreased in the subsequent step of re-annealing under Te atmosphere. Both the resistivity and IR transmittance decreased notably after Cd atmosphere annealing, whereas they increased tremendously after re-annealing under a Te atmosphere. The reduction of full-width at-half-maximum (FWHM) and the increase of the intensity of the X-ray rocking curve indicated an improvement of the crystal quality. Meanwhile, after Cd atmosphere annealing, the increase of the intensity of the (D0,X) peak and the disappearance of the (A0,X) peak in photoluminescence (PL) measurements suggested further that the crystal quality was improved. The detector performance was enhanced obviously after annealing. The higher the annealing temperature, the better the performance was. The detector fabricated by CMT:In slice (Cd atmosphere annealing at 1073 K for 240 h and Te atmosphere re-annealing at 773 K for 120 h) with 9.43% energy resolution and 1.25 × 10−3 cm2/V μτ value had the best detector performance.