Multi-modal Chain-of-Thought (MCoT) requires models to leverage knowledge from both textual and visual modalities for step-by-step reasoning, which gains increasing attention. Nevertheless, the current MCoT benchmark still faces some challenges: (1) absence of visual modal reasoning, (2) single-step visual modal reasoning, and (3) Domain missing, thereby hindering the development of MCoT. Motivated by this, we introduce a novel benchmark (M$^3$CoT) to address the above challenges, advancing the multi-domain, multi-step, and multi-modal CoT. Additionally, we conduct a thorough evaluation involving abundant MCoT approaches on Vision Large Language Models (VLLMs). In addition, we highlight that the current VLLMs still struggle to correctly reason in M$^3$CoT and there remains a large gap between existing VLLMs and human performance in M$^3$CoT, despite their superior results on previous MCoT benchmarks. To our knowledge, we take the first meaningful step toward the multi-domain, multi-step, and multi-modal scenario in MCoT. We hope that M$^3$CoT can serve as a valuable resource, providing a pioneering foundation in multi-domain, multi-step, multi-modal chain-of-thought research.