In this paper, we study efficient multi-beam training design for near-field communications to reduce the beam training overhead of conventional single-beam training methods. In particular, the array-division based multi-beam training method, which is widely used in far-field communications, cannot be directly applied to the near-field scenario, since different sub-arrays may observe different user angles and there exist coverage holes in the angular domain. To address these issues, we first devise a new near-field multi-beam codebook by sparsely activating a portion of antennas to form a sparse linear array (SLA), hence generating multiple beams simultaneously by effective exploiting the near-field grating-lobs. Next, a two-stage near-field beam training method is proposed, for which several candidate user locations are identified firstly based on multi-beam sweeping over time, followed by the second stage to further determine the true user location with a small number of single-beam sweeping. Finally, numerical results show that our proposed multi-beam training method significantly reduces the beam training overhead of conventional single-beam training methods, yet achieving comparable rate performance in data transmission.