The theoretical study of a step-tunable gyrotron controlled by successive excitation of multi-harmonic modes is presented in this paper. An axis-encircling electron beam is employed to eliminate the harmonic mode competition. Physics images are depicted to elaborate the multi-harmonic interaction mechanism in determining the operating parameters at which arbitrary harmonic tuning can be realized by magnetic field sweeping to achieve controlled multiband frequencies' radiation. An important principle is revealed that a weak coupling coefficient under a high-harmonic interaction can be compensated by a high Q-factor. To some extent, the complementation between the high Q-factor and weak coupling coefficient makes the high-harmonic mode potential to achieve high efficiency. Based on a previous optimized magnetic cusp gun, the multi-harmonic step-tunable gyrotron is feasible by using harmonic tuning of first-to-fourth harmonic modes. Multimode simulation shows that the multi-harmonic gyrotron can operate on the 34 GHz first-harmonic TE11 mode, 54 GHz second-harmonic TE21 mode, 74 GHz third-harmonic TE31 mode, and 94 GHz fourth-harmonic TE41 mode, corresponding to peak efficiencies of 28.6%, 35.7%, 17.1%, and 11.4%, respectively. The multi-harmonic step-tunable gyrotron provides new possibilities in millimeter–terahertz source development especially for advanced terahertz applications.