Although in observational studies, propensity score matching is the most widely used balancing method, it has received much criticism. The main drawback of this method is that the individuals of the case and control groups are paired in the compressed one-dimensional space of propensity scores. In this paper, such a novel multivariate weighted k-nearest neighbours-based control group selection method is proposed which can eliminate this disadvantage of propensity score matching. The proposed method pairs the elements of the case and control groups in the original vector space of the covariates and the dissimilarities of the individuals are calculated as the weighted distances of the subjects. The weight factors are calculated from a logistic regression model fitted on the status of treatment assignment. The efficiency of the proposed method was evaluated by Monte Carlo simulations on different datasets. Experimental results show that the proposed Weighted Nearest Neighbours Control Group Selection with Error Minimization method is able to select a more balanced control group than the most widely applied greedy form of the propensity score matching method, especially for individuals characterized with few descriptive features.