A method based on the evidential reasoning and third-generation prospect theory is proposed to solve multi-status uncertainty multi-attribute decision making problems. Firstly, a representation method of uncertainty knowledge, certainty factor structure and its transformation method, is presented. Then, the prospect values for each alternative on each attribute are given based on the value function and weight function by using the third-generation prospect theory. Furthermore, according to evidential reasoning, the combination prospect values of alternatives are composed, and a ranking of alternatives can be determined by using the combination prospect values. Finally, an example is used to illustrate the feasibility and effectiveness of this uncertain multi-attribute decision making method.