Multi-proxy signature is a scheme that an original signer authorizes a proxy group as his proxy agent and later only the cooperation of all proxy signers in the proxy group could sign messages on behalf of the original signer. To our best knowledge, most of the existing multi-proxy signature schemes are proposed in public key infrastructure or identity-based setting. However, due to avoiding the inherent escrow problem of identity-based cryptography and yet not requiring certificates to guarantee the authenticity of public keys, certificateless public key cryptography has become an attractive paradigm on which many cryptographical primitives are based. In this paper, a generic construction and a formal security model of certificateless multi-proxy signature (CLMPS) are firstly defined. A concrete CLMPS scheme is also proposed, which is proven to be existentially unforgeable against adaptively chosen warrant attacks and chosen message and identity attacks in the random oracle model under the computational Diffie-Hellman assumption.