Organizational goals are the basis and prerequisite for making organizational strategy. This paper, taking Pre-Baosteel Group as case, using the co-evolution model, explores the process and mechanism of goal evolution of complex organization. The longitudinal case study shows that: (1) with the complexity of organization and its environments, organizational goal evolves from simple goal to complex goal system, including content, structure, and relationship among sub-goals; (2) the goal system of complex organization, crucially influenced by requirements from internal and external environments, presents the feature of multiple “leader-member” pattern, and shows the characteristics of diversity, network hierarchy, co-competition, synergy, dynamic adaptability and the like; (3) the growth of complex organization is a co-evolutionary and interactive process of organizational goal system with key external environment forces, internal organizational resources and capabilities. The process that complex organization constantly amends the contents and structure of goal system and the relationships among sub-goals is essentially the process to extend ecological business space, enhance survival strength, and improve organizational legitimacy; (4) under China’s special circumstance, the evolution of goal system for complex organization shows special complexity, such as coexistence of path dependence and path innovation, coexistence of market mechanism and non-market mechanism, and the like.