In this paper, considering the dual-functionally graded carbon nanotube reinforced composite (DFG-CNTRC) cylindrical shells with stepped variable thicknesses, the free vibration characteristics of the shell under arbitrary boundary conditions are investigated. To begin with, based on the improvement law of the mixtures, the effective material properties of DFG-CNTRC are obtained. Then, the artificial spring technique is used to simulate the continuous coupling between the shell segments and the boundary conditions at both ends of the shell. Further, based on the first-order shear deformation theory (FSDT), the dynamics equations of DFG-CNTRC stepped cylindrical shells are derived by the Rayleigh–Ritz method using Chebyshev polynomials as admissible functions. Therefore, the dynamic differential equation of the shell with arbitrary boundary conditions is solved. Finally, compared with the data from existing literature, the results indicate that the proposed method has excellent validity and reasonable convergence. Moreover, the effects of carbon nanotubes (CNTs) volume fraction, CNTs distribution types, matrix volume fraction, geometric parameters, and spring stiffness value on the vibration characteristics of DFG-CNTRC stepped cylindrical shells are assessed.