To further enhance the crashworthiness of subway vehicle anti-climb energy-absorbing devices, this paper proposes a novel collapsible structure, which is embedded with honeycomb aluminum blocks and consists of an inner and outer double-layer square tube. An impact finite element model of the subway vehicle’s anti-climb energy-absorbing device was established using LS-DYNA (v.17.2). The effects of the connecting diaphragm thickness, the inner and outer tube thicknesses of the thin-walled tubes, and the yield strength of the honeycomb aluminum on the energy absorption and impact force of the anti-climb energy-absorbing device were investigated. The results indicate that changes in the inner and outer tube thicknesses of the thin-walled tubes significantly affect the energy absorption and impact force of the anti-climb energy-absorbing device. However, changes in the connecting diaphragm thickness only increase the maximum energy absorption by up to 7.5% but have a significant impact on the maximum peak force. It was also found that the difference in energy absorption due to changes in the yield strength of the honeycomb aluminum is only 3.6%, suggesting that the yield strength of the honeycomb aluminum and the connecting diaphragm thickness have a limited influence on the crashworthiness design of the anti-climb energy-absorbing device. Furthermore, a multi-objective surrogate model characterizing the specific energy absorption and maximum peak force was established for the aforementioned four influential parameters using the response surface method. The model was then optimized using a genetic algorithm, resulting in optimal parameters that increased the energy absorption and specific energy absorption by 27.3% and 13.8%, respectively, compared to the original values, leading to a significant improvement in crashworthiness. The findings provide valuable references for and insights into the crashworthiness design and optimization of subway vehicles’ anti-climb energy-absorbing devices.