This article aims at studying the stochastic P-bifurcation of tri-stable van der Pol-Duffing oscillator subjected to multiplicative colored noise. First, the stationary probability density of amplitude is derived by using the stochastic averaging method. Then the critical parameter conditions of stochastic P-bifurcation are obtained based on the singularity theory. And the different types of stationary probability densities of amplitude are also obtained, which are in good agreement with the results from Monte-Carlo numerical simulation. Based on these results, the effects of the noise correlation time, noise intensity and linear damping coefficient on the P-bifurcation and the stable response behavior of the system are studied.