Exceptional points (EPs) have consistently held a central role in non-Hermitian physics due to their unique physical properties and potential applications. They have been intensively explored in parity-time (PT)-symmetric systems or other non-Hermitian systems; however, they barely investigated in pseudo-Hermitian systems with non-Markovian environments. In this work, we study higher-order EPs in three coupled cavities (denoted as a, b1, and b2) under pseudo-Hermitian conditions. Specifically, the cavity a simultaneously interacts with two Markovian environments, while the cavity b1 and b2 couples with the respective Markovian environments. Through coherent perfect absorption (CPA) of two input fields with the cavity a, we obtain an effective gain for the system. Under certain parametric conditions, the effective Hamiltonian of the system holds pseudo-Hermiticity, where the third-order exceptional point (EP3) can be observed by measuring the output spectrum of the system. Moreover, we generalize the results to the non-Markovian regimes (only two environments coupling with the cavity a are non-Markovian, while the other two environments coupling with cavities b1 and b2 are Markovian), which leads to the emergence of fourth-order exceptional points (EP4) and fifth-order exceptional points (EP5). In particular, EP4 and EP5 in the non-Markovian limit (corresponding to the infinite spectral width) can return to EP3 under the Markovian approximation. Finally, we extend the systems to more general non-Hermitian ones without pseudo-Hermitian constraints and find the higher-order EPs (EP6 and EP7), where all four environments are non-Markovian. The study presents expansions of non-Hermitian physics into the field of non-Markovian dynamics and anticipates the profound impact in quantum optics and precision measurement.