Advancements in Large Language Models (LLMs) have extended their input context length, yet they still struggle with retrieval and reasoning in long-context inputs. Existing methods propose to utilize the prompt strategy and Retrieval-Augmented Generation (RAG) to alleviate this limitation. However, they still face challenges in balancing retrieval precision and recall, impacting their efficacy in answering questions. To address this, we introduce CAFE, a two-stage coarse-to-fine method to enhance multi-document question-answering capacities. By gradually eliminating the negative impacts of background and distracting documents, CAFE makes the responses more reliant on the evidence documents. Initially, a coarse-grained filtering method leverages retrieval heads to identify and rank relevant documents. Then, a fine-grained steering method guides attention to the most relevant content. Experiments across benchmarks show that CAFE outperforms baselines, achieving an average SubEM improvement of up to 22.1% and 13.7% over SFT and RAG methods, respectively, across three different models.