The prediction of heating and cooling loads using machine learning algorithms has been considered frequently in the research literature. However, many of the studies considered the default values of the hyperparameters. This manuscript addresses both the selection of the best regressor and the tuning of the hyperparameter values using a novel nature-inspired algorithm, namely, the Multi-Objective Plum Tree Algorithm. The two objectives that were optimized were the averages of the heating and cooling predictions. The three algorithms that were compared were the Extra Trees Regressor, the Gradient Boosting Regressor, and the Random Forest Regressor of the sklearn machine learning Python library. We considered five hyperparameters which were configurable for each of the three regressors. The solutions were ranked using the MOORA method. The Multi-Objective Plum Tree Algorithm returned a root mean square error value for heating equal to 0.035719 and a root mean square error for cooling equal to 0.076197. The results are comparable to the ones obtained using standard multi-objective algorithms such as the Multi-Objective Grey Wolf Optimizer, Multi-Objective Particle Swarm Optimization, and NSGA-II. The results are also performant concerning the previous studies, which considered the same experimental dataset.