Embodied navigation stands as a foundation pillar within the broader pursuit of embodied intelligence. However, previous navigation research is divided into different tasks/capabilities, e.g., ObjNav, ImgNav and VLN, where they differ in task settings/objectives and modalities, making datasets and methods are designed individually. In this work, we take steps toward generalist navigation agents, which can follow free-form instructions that include arbitrary compounds of multi-modal and multi-capability. To achieve this, we propose a large-scale benchmark and corresponding method, termed OctoNav-Bench and OctoNav-R1. Specifically, OctoNav-Bench features continuous environments and is constructed via a designed automatic annotation pipeline. We thoroughly craft instruction-trajectory pairs for imitation learning, where instructions are diverse in free-form with arbitrary modality and capability. Also, we elaborately construct a Think-Before-Action (TBA-CoT) dataset within OctoNav-Bench to provide the thinking process behind actions.For OctoNav-R1, we build it upon MLLMs and adapt it to a VLA-type model, which can produce low-level actions solely based on 2D visual observations. Moreover, we design a Hybrid Training Paradigm (HTP) that consists of three stages, i.e., Action-/TBA-SFT, Nav-GPRO, and Online RL stages. Each stage contains specifically designed learning policies and rewards. Importantly, for TBA-SFT and Nav-GRPO designs, we are inspired by the OpenAI-o1 and DeepSeek-R1, which show impressive reasoning ability via thinking-before-answer. Thus, we aim to investigate how to achieve thinking-before-action in the embodied navigation field, to improve model's reasoning ability toward generalists. Specifically, we propose TBA-SFT to utilize the TBA-CoT dataset to fine-tune the model as a cold-start phrase and then leverage Nav-GPRO to improve its thinking ability. Finally, OctoNav-R1 shows superior performance compared with the previous methods.