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Answering complex real-world questions requires step-by-step retrieval and integration of relevant information to generate well-grounded responses. However, existing knowledge distillation methods overlook the need for different reasoning abilities at different steps, hindering transfer in multi-step retrieval-augmented frameworks. To address this, we propose Step-wise Knowledge Distillation for Enhancing Reasoning Ability in Multi-Step Retrieval-Augmented Language Models (StepER). StepER employs step-wise supervision to align with evolving information and reasoning demands across stages. Additionally, it incorporates difficulty-aware training to progressively optimize learning by prioritizing suitable steps. Our method is highly adaptable across various frameworks of multi-step retrieval-augmented language models, including those based on reasoning paths or question decomposition. Extensive experiments show that StepER outperforms prior methods on multi-hop QA benchmarks, with an 8B model achieving performance comparable to a 70B teacher model.