Stimuli-responsive polymers have received tremendous attention from scientists and engineers for several decades due to the wide applications of these smart materials in biotechnology and nanotechnology. Driven by the complex functions of living systems, multi-stimuli-responsive polymer materials have been designed and developed in recent years. Compared with conventional single- or dual-stimuli-based polymer materials, multi-stimuli-responsive polymer materials would be more intriguing since more functions and finer modulations can be achieved through more parameters. This critical review highlights the recent advances in this area and focuses on three types of multi-stimuli-responsive polymer materials, namely, multi-stimuli-responsive particles (micelles, micro/nanogels, vesicles, and hybrid particles), multi-stimuli-responsive films (polymer brushes, layer-by-layer polymer films, and porous membranes), and multi-stimuli-responsive bulk gels (hydrogels, organogels, and metallogels) from recent publications. Various stimuli, such as light, temperature, pH, reduction/oxidation, enzymes, ions, glucose, ultrasound, magnetic fields, mechanical stress, solvent, voltage, and electrochemistry, have been combined to switch the functions of polymers. The polymer design, preparation, and function of multi-stimuli-responsive particles, films, and bulk gels are comprehensively discussed here.