Metallic thin-walled round tubes are widely used as energy absorption elements. However, lateral splash of the round tubes under impact loadings reduces the energy absorption efficiency and may cause secondary damages. Therefore, it is necessary to assemble and fasten round tubes together by boundary constraints and/or fasteners between tubes, which increases the time and labor cost and affects the mechanical performance of round tubes. In an effort to break through this limitation, a novel self-locked energy-absorbing system has been proposed in this paper. The proposed system is made up of thin-walled tubes with dumbbell-shaped cross section, which are specially designed to interlock with each other and thus provide lateral constraint under impact loadings. Both finite element simulations and impact experiment demonstrated that without boundary constraints or fasteners between tubes, the proposed self-locked energy-absorbing system can still effectively attenuate impact loads while the round tube systems fail to carry load due to the lateral splashing of tubes. Furthermore, the optimal geometric design for a single dumbbell-shaped tube and the optimal stacking arrangement for the system are discussed, and a general guideline on the structural design of the proposed self-locked energy absorbing system is provided.