Add custom WooCommerce order Status

custom-woocommerce-order-status.php

<?php

/**
 *
 * Register the status
 *
 * Note the status must start with wc-
 *
 */
function my_custom_order_status($order_statuses){
	$order_statuses['wc-my-status'] = array(
		'label'                     => _x( 'My Status', 'Order status', 'woocommerce' ),
		'public'                    => false,
		'exclude_from_search'       => false,
		'show_in_admin_all_list'    => true,
		'show_in_admin_status_list' => true,
		'label_count'               => _n_noop( 'My Status<span class="count">(%s)</span>', 'My Status<span class="count">(%s)</span>', 'woocommerce' ),
		);
		return $order_statuses;
}

add_filter('woocommerce_register_shop_order_post_statuses', 'my_custom_order_status',10,1);

/**
 *
 * Add it to the other order statuses
 *
 */
function show_custom_order_status( $order_statuses ) {

	$order_statuses['wc-my-status'] = _x( 'My Status', 'Order status', 'woocommerce' );
	return $order_statuses;
 }

 add_filter( 'wc_order_statuses', 'show_custom_order_status',10,1);

 /**
  *
  * Make it so we can bulk edit
  * "mark_" must be used instead of "wc"
  */
 function get_custom_order_status_bulk( $bulk_actions ) {
	$bulk_actions['mark_my-status'] = 'Change status to My Status';
	return $bulk_actions;
 }

 add_filter( 'bulk_actions-edit-shop_order', 'get_custom_order_status_bulk',10,1);