We report magnetic resonance experiments with optical detection performed on cesium atoms trapped in a crystalline He matrix. Multi-photon transitions, i.e., processes in which several radio-frequency photons are absorbed simultaneously in a given hyperfine Zeeman multiplet of the ground state, were the central topic of these studies. The long relaxation times of spin coherences of Cs in solid He allow such transitions to be spectrally resolved in fields as low as 1 mT. We observed all allowed multi-photon transitions up to the ∆M = 8 transition in the F = 4 state. We compare the experimental spectra with theoretical spectra obtained from numerical solutions of the Liouville equation that include optical pumping and the interaction with the static and oscillating fields. Multi-photon transitions may find applications in magnetometry, suppress systematic effects in EDM experiments, and allow the study of relaxation phenomena in doped He crystals. The demonstration of these features is still hindered by inhomogeneous line broadening.