Необходимо добавить эффект градиента для границ. границы треугольной формы
здесь код jsfiddle
.progress-indicator-wrapper {
  margin: 0 10px;
  font-size: 16px;
  color: #2f2f2f;
  background-image: linear-gradient(to bottom, #e7e7e7, #d8d8d8);
}
.progress-indicator {
  display: table;
  width: 100%;
  text-align: center;
  line-height: 20px;
}
.progress-indicator > div {
  display: table-cell;
  margin-top: 0;
  padding: 20px;
  position: relative;
}
.progress-indicator > div.progress-active::before {
  content: " ";
  position: absolute;
  left: 0;
  top: 0;
  border-top: 30px solid transparent;
  border-bottom: 30px solid transparent;
  border-left: 20px solid #e7e7e7;
}
.progress-indicator > div.progress-active::after {
  content: " ";
  position: absolute;
  right: -20px;
  top: 0;
  border-top: 30px solid transparent;
  border-bottom: 30px solid transparent;
  border-left: 20px solid #2980b9;
}
.progress-active {
  color: #fff;
  background-image: linear-gradient(to bottom, #3498db, #2980b9);
}<div class="progress-indicator-wrapper">
  <div class="progress-indicator">
    <div>
      <span class="progress-txt">Step 1 </span>
    </div>
    <div class="progress-active">
      <span class="progress-txt">Step 2</span>
    </div>
    <div>
      <span class="progress-txt">Step 3</span>
    </div>
    <div>
      <span class="progress-txt">Step 4</span>
    </div>
    <div>
      <span class="progress-txt">Step 5</span>
    </div>
  </div>
</div>
