In this paper, the multiple constraint least squares solution of the Sylvester equation $AX+XB=C$ is discussed. The necessary and sufficient conditions for the existence of solutions to the considered matrix equation are given. Noting that the alternating direction method of multipliers (ADMM) is a one-step iterative method, a multi-step alternating direction method of multipliers (MSADMM) to solve the considered matrix equation is proposed and some convergence results of the proposed algorithm are proved. Problems that should be studied in the near future are listed. Numerical comparisons between MSADMM, ADMM and ADMM with Anderson acceleration (ACADMM) are included.