Multi-image Interleaved Reasoning aims to improve Multi-modal Large Language Models (MLLMs) ability to jointly comprehend and reason across multiple images and their associated textual contexts, introducing unique challenges beyond single-image or non-interleaved multi-image tasks. While current multi-image benchmarks overlook interleaved textual contexts and neglect distinct relationships between individual images and their associated texts, enabling models to reason over multi-image interleaved data may significantly enhance their comprehension of complex scenes and better capture cross-modal correlations. To bridge this gap, we introduce a novel benchmark MIR, requiring joint reasoning over multiple images accompanied by interleaved textual contexts to accurately associate image regions with corresponding texts and logically connect information across images. To enhance MLLMs ability to comprehend multi-image interleaved data, we introduce reasoning steps for each instance within the benchmark and propose a stage-wise curriculum learning strategy. This strategy follows an "easy to hard" approach, progressively guiding models from simple to complex scenarios, thereby enhancing their ability to handle challenging tasks. Extensive experiments benchmarking multiple MLLMs demonstrate that our method significantly enhances models reasoning performance on MIR and other established benchmarks. We believe that MIR will encourage further research into multi-image interleaved reasoning, facilitating advancements in MLLMs capability to handle complex inter-modal tasks.