Multimodal agents, which integrate a controller (e.g., a large language model) with external tools, have demonstrated remarkable capabilities in tackling complex tasks. However, existing agents need to collect a large number of expert data for fine-tuning to adapt to new environments. In this paper, we propose an online self-exploration method for multimodal agents, namely SPORT, via Step-wise Preference Optimization to Refine the Trajectories of agents, which automatically generates tasks and learns from solving the generated tasks, without any expert annotation. SPORT operates through four iterative components: task synthesis, step sampling, step verification, and preference tuning. First, we synthesize multimodal tasks using language models. Then, we introduce a novel search scheme, where step sampling and step verification are executed alternately to solve each generated task. We employ a verifier to provide AI feedback to construct step-wise preference data. The data is subsequently used to update the controller's policy through preference tuning, producing a SPORT Agent. By interacting with real environments, the SPORT Agent evolves into a more refined and capable system. Evaluation in the GTA and GAIA benchmarks shows that the SPORT Agent achieves 6.41% and 3.64% improvements, underscoring the generalization and effectiveness introduced by our method.