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Solving non‐cooperative zero‐sum multi‐objective Games (zsMOGs), under undecided objective preferences results, for each of the players, in a Set of Rationalizable Strategies (SRS) to choose from. First, this paper deals with finding for each of the players a preferred subset of such rationalizable strategies based on a‐priori incorporation of partial preferences of the decision‐makers using secondary criteria. The obtained subset is termed the Set of Preferred Strategies (SPS). Here, a novel archive‐based co‐evolutionary algorithm is suggested to search for the SPS for each of the players. An academic example is suggested to demonstrate and validate the algorithm. It concerns a zsMOG that involves two adversarial planar manipulators. Based on a theorem that is proven here, a theoretic reference SRS is found for each of the players. This reference SRS is applied to find a reference SPS, which is used for validating the algorithm. Next, a comparison study is performed between the proposed archive‐based co‐evolutionary algorithm and an elite‐based version of this algorithm. The results clearly show that the archive‐based algorithm is superior to the elite‐based version, yielding results that correspond well to the theoretic sets.