For underwater target exploration, multiple Autonomous Underwater Vehicles (AUVs) have shown significant advantages over single AUVs. Aiming at Multi-AUV task allocation, which is an important issue for collaborative work in underwater environments, this paper proposes a Multi-AUV task allocation method based on the Differential Evolutionary Gray Wolf Optimization (DE-GWO) algorithm. Firstly, the working process of the Multi-AUV system was analyzed, and the allocation model and objective function were established. Then, we combined the advantages of the strong global search capability of the Differential Evolutionary (DE) algorithm and the excellent convergence performance of Gray Wolf Optimization (GWO) to solve the task assignment of the Multi-AUV system. Finally, a reassignment mechanism was used to solve the problem of AUV failures during the task’s execution. In the simulation comparison experiments, the DE-GWO, GWO, DE, and Particle Swarm Optimization (PSO) algorithms were carried out for different AUV execution capabilities, respectively.