Aiming at economic cost and environmental cost, and considering dynamic load demand and multiple fuels, a multi-objective dynamic multi-fuel economic environmental dispatch model is established and a multi-objective particle swarm optimization is proposed to solve the optimization model. Dynamic load and multiple fuels benefit energy cost saving and the improvement of energy utilization efficiency of the model. However, it is a hard task to solve it due to the high dimensions, complex nonlinearity and multiple objectives. In the algorithm, an update strategy of multi-objective set and variable neighborhood search are introduced. Simulation results show that the model is valid and the approximate Pareto front obtained by the proposed algorithm is superior to other algorithms in terms of the degree of approximation for solving the problem.