Complex phase (CP) steels are widely used in automotive components such as frame rails, rocker panels, and tunnel stiffeners owing to their high strength and good local formability. The subtle hardness difference between microstructures allows CP steels to exhibit excellent hole expansion performance, with the high-hardness martensite-austenite (MA) constituents being the critical structure. The distribution of MA constituents is crucial to the mechanical properties of the product. This study aims to improve the hole expansion property by constructing a continuous distribution of MA constituents along the rolling direction at the thickness center. Microstructures and hole expansion behavior were investigated using CLSM, SEM, EBSD, and hole expansion tests. Results indicate that after thermodynamic treatment, the MA constituents were aggregated at the thickness center in a continuous distribution along the rolling direction with a long axis of approximately 1.25 μm, and an average distance of less than 1.0 μm. Microhardness quantification of the plastic damage on the punching edge suggests that the advanced steel exhibits the highest hardening at the thickness center with a 41% hardness increase after punching, which is higher than the 31% hardening in the maximum hardening burr zone of the base steel. The advanced steel, despite suffering severe punching damage, exhibited a hole expansion ratio of approximately 43%, higher than the 34% of the base steel. Quasi in situ interrupted hole expansion tests indicate that at the thickness center of the advanced steel, the circumferential cracks formed through a multiple void interaction mechanism which promotes the stress release. In the matrix, pit-like damage is caused by a void coalescence mechanism. Both mechanisms lead to the mechanical instability and eventual failure of the steel. The damaging position of the hole edge had a decisive impact on the fracture mode.