The double-hat-shaped magnesium tube was difficult to use in actual applications due to its frangible material property. Magnesium alloy and traditional steel were integrated into a new hybrid thin-walled double-hat-shaped tube to improve vehicle crashworthiness. Two classes of hybrid tubes were examined, namely Hybrid-I (steel top hat and magnesium alloy bottom hat) and Hybrid-II (magnesium alloy top hat and steel bottom hat). The energy absorption characteristics and crashworthiness optimization of the thin-walled hybrid structures were investigated under three-point bending conditions through experiments and simulations. Multi-objective optimization design for the two hybrid tubes was implemented to elucidate their lightweight properties. Results showed that the specific energy absorption of Hybrid-I tube and Hybrid-II tube was approximately 44.7% and 12.7% higher than that of the double-hat-shaped DC04 tube, respectively. The Hybrid-I tube had better crashworthiness and lightweight properties compared with Hybrid-II tube. Hybrid-I tube also had better lightweight properties than single-material steel tube and reduced wall thickness compared with magnesium alloy tube.