A multi-axial continuum damage mechanics (CDM) model was proposed to calculate the multi-axial creep–fatigue damage of a high temperature component. A specific outer cylinder of a 1000 MW supercritical steam turbine was used in this study, and the interaction of the creep and fatigue behavior of the outer cylinder was numerically investigated under a startup–running–shutdown process. To this end, the multi-axial stress–strain behavior of the outer cylinder was numerically studied using Abaqus. The in-site measured temperatures were provided to validate the heat transfer coefficients, which were used to calculate the temperature field of the outer cylinder. The multi-axial mechanics behavior of the outer cylinder was investigated in detail, with regard to the temperature, Mises stress, hydrostatic stress, multi-axial toughness factor, multi-axial creep strain, and damage. The results demonstrated that multi-axial mechanics behavior reduced the total damage.