We study bulk negative-index metamaterials made up of U-shaped cells at visible frequencies that can realize multi-band negative refractive index with very low loss based on high-order resonance. The mechanism of multi-band negative refractive index can be interpreted by analyzing the transmission modes, current distribution, effective LC circuit models and kinetic energy of electrons. In the low-frequency region, the multi-band resonances are mainly due to the cell itself; in the high-frequency region, they are mainly due to the interaction between adjacent cells. Compared with cut-wire pairs, U-shaped cells can realize resonances more easily at high frequencies and produce more negative-index transmission bands.