I have created a multi page/step form and I want to add custom validation on each field on every form page/step.
How can I achieve that? I am very new to WordPress hence using plug in. But Now I don't know how can I customize validation.
You will need to use a custom validation library, jquery validate for example.
You can specify the required fields in the Gravity Forms's edition panel and then you call the validation's plugin on your form.
The fact you use Gravity forms will not alter the way you can validate a form.
If you don't like big documentation look at this post talking of jQuery validation https://stackoverflow.com/a/15072147/4933917
Hope it may helps you.