<p>We introduce a novel multi-threshold change-plane structural equation model designed to accommodate varying causal effects across different change planes. In our proposed model, the number of thresholds, their locations, and the coefficients of change planes are all left unspecified. This model serves as a non-trivial extension of the multi-threshold change-point structural equation model. We first use a group selection technique to detect the number of thresholds, and then adopt an iterative procedure to refine the estimation of threshold locations and other model parameters. The Wald ratio method is applied to estimate causal effects for identified subgroups. Furthermore, we establish the consistency of estimated parameters and the asymptotic distribution of the estimated segmented causal effects. Finally, the performance of the proposed methodology is demonstrated by simulations and a real economic data example.</p>