Based on the existing model of an irreversible magnetohydrodynamic cycle, this paper uses finite time thermodynamic theory and multi-objective genetic algorithm (NSGA-II), introduces heat exchanger thermal conductance distribution and isentropic temperature ratio of working fluid as optimization variables, and takes power output, efficiency, ecological function, and power density as objective functions to carry out multi-objective optimization with different objective function combinations, and contrast optimization results with three decision-making approaches of LINMAP, TOPSIS, and Shannon Entropy. The results indicate that in the condition of constant gas velocity, deviation indexes are 0.1764 acquired by LINMAP and TOPSIS approaches when four-objective optimization is performed, which is less than that (0.1940) of the Shannon Entropy approach and those (0.3560, 0.7693, 0.2599, 0.1940) for four single-objective optimizations of maximum power output, efficiency, ecological function, and power density, respectively. In the condition of constant Mach number, deviation indexes are 0.1767 acquired by LINMAP and TOPSIS when four-objective optimization is performed, which is less than that (0.1950) of the Shannon Entropy approach and those (0.3600, 0.7630, 0.2637, 0.1949) for four single-objective optimizations, respectively. This indicates that the multi-objective optimization result is preferable to any single-objective optimization result.