This paper proposes a stepwise expert-teaching reinforcement learning framework for intelligent frequency control in hydro–thermal–wind–solar–compressed air energy storage (CAES) integrated systems under high renewable energy penetration. The proposed method addresses the frequency stability challenge in low-inertia, high-volatility power systems, particularly in Southwest China, where large-scale renewable-energy-based energy bases are rapidly emerging. A load frequency control (LFC) model is constructed to serve as the training and validation environment, reflecting the dynamic characteristics of the hybrid system. The stepwise expert-teaching PPO (SETP) framework introduces a stepwise training mechanism in which expert knowledge is embedded to guide the policy learning process and training parameters are dynamically adjusted based on observed performance. Comparative simulations under multiple disturbance scenarios are conducted on benchmark systems. Results show that the proposed method outperforms standard proximal policy optimization (PPO) and traditional PI control in both transient response and coordination performance.