The steel frame structure plays an important role in strategic deployments and is widely used in heavy machinery, metallurgy, military, and other important industries. To study the impact of explosive loads on the anti-progressive collapse performance of steel structures, this paper proposes to establish the vulnerability characteristics of steel frame structures and provides a method for calculating vulnerability characterization indicators. A finite element model is used to analyze the dynamic response of steel frame structures under the action of close-range explosive loads, and factors influencing the anti-progressive collapse of steel frame structures are proposed, including the number of stories and diagonal bracing. A comparison is made between the various column types of steel structures under explosive loads, such as corner columns, long-edge middle columns, short-edge middle columns, inner columns, also in various coupling conditions. The results show that the progressive collapse of steel frame structures is greatly influenced by the position of the explosion and less affected by the amount of explosive material. The simultaneous failure of corner columns and long-edge middle columns is more likely to cause overall structural failure. The addition of diagonal bracing significantly improves the anti-progressive collapse ability and prevents the lateral displacement of steel frame structures; increasing the number of stories provides more alternative load transfer paths for steel frame structures, thereby preventing their collapse.