Transit offers stop-to-stop services rather than door-to-door services. The trip from a transit hub to the final destination is often entitled as the “last-mile” trip. This study innovatively proposes a hybrid approach by combining the data mining technique and multiple attribute decision making to identify the optimal travel mode for last-mile, in which the data mining technique is applied in order to objectively determine the weights. Four last-mile travel modes, including walking, bike-sharing, community bus, and on-demand ride-sharing service, are ranked based upon three evaluation criteria: travel time, monetary cost, and environmental performance. The selection of last-mile trip modes in Chengdu, China, is taken as a typical case example, to demonstrate the application of the proposed approach. Results show that the optimal travel mode highly varies by the distance of the “last-mile” and that bike-sharing serves as the optimal travel mode if the last-mile distance is no more than 3 km, whilst the community bus becomes the optimal mode if the distance equals 4 and 5 km. It is expected that this study offers an evidence-based approach to help select the reasonable last-mile travel mode and provides insights into developing a sustainable urban transport system.