Extreme value of vehicle load plays an important role in bridge design and risk assessment. Peaks over threshold (POT) is a method commonly used in extreme load estimation. The selection of thresholds for the POT method is extremely crucial, but the selected optimal threshold varies under different test criteria. Therefore, a method to select the suitable threshold is developed based on multiple criteria decision analysis (MCDA) in the paper. In MCDA, Chi-Square (χ2) test, Kolmogorov–Smirnov (K–S) test, and Root Mean Square Error (RMSE) in probability distribution functions (PDF) are employed as the test criteria and the weight of these criteria is calculated using the entropy method. Finally, vehicle loads obtained from simulation and field measurement are adopted to validate the effectiveness and feasibility of the proposed method. The results indicate that the proposed MCDA is a useful and complementary tool for threshold selection in the extreme value analysis.