A new type assembled energy dissipation brace (AEDB) composed of assembled elliptic energy dissipation components, connection components, traditional H-type braces, and bolts was proposed in this paper. Each assembled energy dissipation component included two assembled elliptic dampers, and each assembled elliptic damper included an elliptic steel tube, a few H-shaped strips or stiffening H-shaped strips, and some bending plates. Three different assembled elliptic energy dissipation components with different assembled elliptic dampers were developed. The hysteretic performances of five AEDBs were investigated in a steel frame substructure through a quasi-static test. The experimental parameter included the type and the number of the assembled elliptic energy dissipation components. The failure modes, load-displacement curves, skeleton curves, energy dissipation capacities, ductility, and strain of the five AEDBs were studied. Among the five specimens, the ductility of specimen AEDB-1 with A-type assembled elliptic damper was the highest, and the ultimate bearing capacity of specimen AEDB-1 was the lowest. The energy dissipation capacity of an energy dissipation component in the energy dissipation brace with single energy dissipation component (S-AEDB) could be significantly higher than that in the energy dissipation brace with double energy dissipation components (D-AEDB), and the initial equivalent stiffness of a D-AEDB could be lower than that of a S-AEDB by 30 %, and the difference of ultimate displacements between a D-AEDB and a S-AEDB could be variable. In addition, the formulas for calculating the yield capacity of AEDBs were proposed and verified.