The evaluation and selection of cold chain logistics distribution centers are of vital importance for third-party logistics companies which want to build green cold chain logistics networks. To select distribution centers, the conflicts among multiple criteria should be considered. The combined compromise solutions (CoCoSo) method can help enterprises make a structural decision; however, in the original CoCoSo method, the evaluation information was expressed by crisp numbers. Nevertheless, in many cases, because of the imprecision and incompleteness of information, it may be more flexible for evaluators to provide imprecise and fuzzy values rather than crisp numbers. In addition, the judgment values are often expressed based on decision-makers' psychological expectations. The evaluation criteria of alternatives have relevance to some extent, which would influence the evaluation results. Based on these concerns, this study presents a modified CoCoSo method in the Pythagorean fuzzy environment in which evaluators can express psychological expectations on alternatives. To achieve this goal, the cumulative prospect theory is introduced to obtain the Pythagorean fuzzy prospect weights. Then, an objective weight determination method of criteria under