At present, there are many subways being constructed in many cities. In the construction of subways, an appropriate scheme is helpful to save cost and ensure the quality of the project. This paper attaches great importance to present a multi-criteria group decision-making (MCGDM) method to deal with selecting an appropriate construction scheme for subways. The process of selecting an appropriate construction scheme for subways is complex because it includes a great deal of fuzzy and uncertain information which can be presented by multi-valued neutrosophic numbers (MVNNs). In addition, in order to handle the interaction of inputs, an improved generalized multi-valued neutrosophic weighted Heronian mean (IGMVNWHM) operator is introduced. Subsequently, a new distance measure between two MVNNs is defined for deriving the objective criteria weights. Considering that decision-makers are not completely rational, we develop an improved multi-valued neutrosophic MULTIMOORA method based on prospect theory. Finally, an application example of selecting an appropriate construction scheme for a subway and the influence of parameter are described. In addition, the validity and advantages of the proposed method are proved by comparative analysis.