The equilibrium thermodynamic properties of a heteropolymer chain of 4 hydrophobic and 26 hydrophilic segments with Lennard-Jones interaction among segments were studied by multicanonical Monte Carlo methods in a three-dimensional off-lattice model. It is approved that the multicanonical algorithms provide us a practical way to accurately calculate thermodynamic properties of the chain at lower temperature. The collapse transition of a heteropolymer chain cooled from higher temperature is able to be separated in three steps: First, the hydrophobic segments associate together to form a hydrophobic core; then, the hydrophilic segments collapse on the surface of the core; finally, the heteropolymer chain reorganizes into its lowest energy state.