Recently, the inlet temperatures in gas turbine units have been drastically increased, which extremely affects the lifespan of gas turbine blades. Traditional cooling structures greatly improve the high temperature resistance of the blade; however, these structures scarcely concern both heat transfer and mechanical performances. Lattice structure (LS) can realize these requirements because of its characteristics of light weight, high strength, and porosity. Although the topology of LS is complex, it can be manufactured with the 3D metal printing technology. In this study, an integral optimization method of lattice cooling structure, used at the trailing edge of turbine blades, concerned with heat transfer and mechanical performance, was presented. Firstly, functions between the first-order natural frequency (freq1), elasticity modulus (E), relative density (ρ¯), and Nusselt number (Nu), and the geometric variables of pyramid type LS (PLS) and X-type LS (XLS) were established, and the reliability of these functions was verified. Then, a mathematical optimization model was developed based on these functions which contained two selected optimization problems. Finally, relations among objectives were analyzed; influence law of geometric variables to objectives were discussed, and the accuracy of the optimal LS was proved by experiment and numerical simulation. The optimization results suggest that, compared to the initial LS, Nu increases by 24.1% and ρ¯ decreases by 31% in the optimal LS of the first selected problem, and the Nu increases by 28.8% while freq1 and ρ¯ are almost unchanged in the optimal LS of the second selected problem compared to the initial LS. This study may provide a guidance for functions integration design of lattice cooling structures used at turbine blades based on 3D printing.