The conventional Smith-Purcell radiation (SPR) generally utilizes the Gaussian electron beam/bunch to interact with a planar grating. The shape mismatching essentially restricts the interaction efficiency together with the radiation intensity. Here, we propose to use side-opening cylindrical gratings (SOCG) to replace planar gratings. We using a train of electron bunches to drive the SOCG, on which the electron bunches are micro-bunched by interacting with the surface waves. The multi-bunched beam then generates multi-color coherent SPR at the superimposed harmonics. Compared with that from a planar grating, the radiation intensity from the SOCG can be significantly enhanced.