Multi-state system models are more practical and valuable when describing complex engineering structures than binary-state system models. Modelling of linear consecutive-(k,l)-out-of-n: F systems with shared components under non-homogeneous Markov dependence is discussed in this work. The proposed model is an extension of both “consecutive-k-out-of-n: F system” and “consecutive-k-out-of-n: F system with shared components between adjacent subsystems”. All the components in the system are assumed to have three states and are non-homogeneous Markov-dependent. Using the method of sum of disjoint products (SDP), the system reliability formula is derived by summing the reliability values for all disjoint cases. The well-known finite Markov chain imbedding approach (FMCIA) is used for deriving the reliability formula for each disjoint case. For the special cases of systems with homogeneous Markov-dependent or independent components, the corresponding results are deduced. Finally, some numerical examples are presented to illustrate all the results developed here.