Multi-component metal-organic frameworks (MC-MOFs) are crystalline porous materials containing multiple organic ligands or mixed metals, which manifest new properties beyond the linear combination of the single component. However, the traditional one-pot synthesis method for MOFs is not always applicable for synthesizing MC-MOFs due to the competitive coordination of multiple ligands and metals. Therefore, the stepwise construction of MC-MOFs has been explored, which enables more precise control of the heterogeneity within the ordered MC-MOFs. This review provides a summary of the synthesis strategies, namely, ligand exchange, coordinative modification, covalent modification, ligand metalation, cluster metalation, and use of mixed-metal precursors, for the stepwise construction of MC-MOFs. Furthermore, we discuss the applications of MC-MOFs with ordered arrangements of multiple functionalities, focusing on gas adsorption and separation, water remediation, heterogeneous catalysis, luminescence, and chemical sensing.