Abstract: To investigate the bending damage behavior and failure mechanism of Q235 steel pipes strengthened with carbon fiber-reinforced polymer (CFRP), a damage behavior analysis was conducted by integrating acoustic emission (AE) technology, the load–ductility coefficient, and a Markov chain model. Based on AE parameters—including signal amplitude and ring-down count—the damage characteristics corresponding to the three-stage damage evolution law (“elastic deformation → matrix cracking → steel pipe yielding”) were analyzed. A Markov chain model was constructed using AE parameters as the state space; the number of state transitions under varying loads was counted, and transition probability matrices were calculated for each specimen. Results show that optimizing CFRP strengthening process parameters increased the ultimate bearing capacity of the steel pipes by 3.75%–20.5% and the ultimate strain by 10.7%–18.9%. By comparing and analyzing the AE parameter signals from specimens reinforced with different CFRP configurations, the effectiveness of AE technology in revealing damage patterns during the bending of CFRP-strengthened steel pipes was verified. The Markov chain model predicts that, across specimens ST, 0°C2S, 0°C4S, 30°C2S, 60°C2S, and 90°C2S, the steady-state probabilities of the first stage decrease from 0.5996 to 0.2839, those of the second stage decrease from 0.7712 to 0.3887, and those of the third stage decrease from 0.8557 to 0.4129. This indicates that the model effectively captures the non-sequential (i.e., non-monotonic or multi-path) nature of damage evolution in steel pipes. Combining AE signal characteristics with Markov chain state transitions enables effective detection of damage evolution in CFRP-strengthened steel pipes.