In order to improve the scientific and rationality of power quality (PQ) comprehensive evaluation, an improved Technique for Order Preference by Similarity to an Ideal Solution (TOPSIS) strategy in consideration of the correlation between indices is proposed to evaluate PQ. The strategy overcomes the shortcomings of the traditional methods that ignore the correlation between PQ performance parameters. Firstly, the AHP-entropy weight (EW) method is obtained by combining the improved analytic hierarchy process (AHP) and the EW method, and the combined weights of the PQ indices are calculated. Secondly, the Mahalanobis distance is used to replace the Euclidean distance in the traditional TOPSIS method, and the PQ samples that need to be evaluated are sorted. The Mahalanobis distance nonlinearly correlates the components inside the evaluation matrix through its own covariance matrix, which solves the problem that the dimensions of each index are not uniform and eliminates the correlation interference between the indices. The example shows that the improved TOPSIS method effectively avoids the misjudgment caused by the correlation between the indices, and the evaluation results are more reasonable and scientific, with greater superiority and effectiveness.