Hybrid electric vehicles (HEVs) have certain advantages over internal combustion engines in terms of energy consumption and emission performance. However, the transmission system parameters are uncertain. The low matching between the engine and the power transmission system makes it a big problem to improve the efficiency of hybrid vehicles. Therefore, the multi-objective optimization design of hybrid vehicles is studied. The transmission system parameters of hybrid vehicles are analyzed from the objective function, decision variables, and constraints. The NSGA-II algorithm with elite strategy is introduced to realize the optimal selection of parameters and formulation of energy consumption optimization strategy. The results showed that the multi-objective optimization algorithm could adjust the position of the working point of the engine and improve the efficiency by more than 10%. There was an average difference of 2.15% after the improvement in the fuel consumption of four-gear vehicles. The fuel consumption per 100 km decreases by more than 3%. The maximum climbing gradient of the whole vehicle was 33.9%. The power factor of the direct gear of the maximum power factor increases by 15% after the improvement. The multi-objective energy consumption optimization design of hybrid vehicles proposed in the study can effectively improve the economic and dynamic performance of the whole vehicle and reduce fuel consumption. It provides a reference for the optimization of the hybrid vehicle transmission system.