A free-electron-driven multi-frequency terahertz (THz) radiation based on a super-grating structure is elucidated in this paper. The super-grating, i.e., periodically depth-modulated metallic grating, has a peculiar dispersion characteristic, similar to the energy bands in a crystal due to the Brillouin zone folding effect. The multi-frequency radiation is stimulated in several directions with the excitation of a free electron as the synchronization points are in the radiative region. The radiation frequency can be independently tuned by the groove depths of the super-grating. The number of frequencies is tailored by the modulated period. Additionally, the multi-frequency THz radiation exhibits a frequency-locked effect during the energy variation of the free electron. Moreover, the radiation field intensity shows a significant enhancement compared with that of a conventional Smith-Purcell radiation. The work is promising for developing efficient on-chip THz radiation sources and boosts advanced THz applications such as communications, multi-frequency imaging, and beam diagnostics, etc.