We study the Markovian process of a multi-mode open system connecting with a non-equilibrium environment, which consists of several heat baths with different temperatures. As an illustration, we study the steady state of three linearly coupled harmonic oscillators in long time evolution, two of which contact with two independent bosonic heat baths with different temperatures respectively. We show that the inter-mode transitions mediated by the environment is responsible for the long time behaviour of the dynamics evolution, which is usually considered to take effect only in short time dynamics of the system immersed in a equilibrium heat bath with a single temperature. In non-equilibrium systems, the ignorance of the inter-mode transitions may give rise to some counter-intuitive result, thus they cannot be neglected.

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