Embodied navigation stands as a foundation pillar within the broader pursuit of embodied AI. However, previous navigation research is divided into different tasks/capabilities, e.g., ObjNav, ImgNav and VLN, where they differ in task 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 annotation pipeline. We thoroughly craft instruction-trajectory pairs, where instructions are diverse in free-form with arbitrary modality and capability. Also, we 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 previous methods.