In view of the subjective arbitrariness of objective weight in multi-objective decision making based on Vague sets and the monotong problem of evaluation function, a novel approach to multi-objective decision making based on entropy weighted-Vague sets was presented. Firstly, the decision matrix was transformed into the objective-grade-membership matrix. Then the objective weight of each objective was calculated by entropy coefficient method, and the weight vector interval of each objective was obtained by considering objective weight and subjective weight. Next the Vague evaluation was obtained by computing the sets of objectives being in favor, against and neutral. Finally, a new evaluation function was defined to sort the alternatives and select the optimal scheme. The rationality and effectiveness of the method were verified by an example.