The multi-objective optimization problem is difficult to solve with conventional optimization methods and algorithms because there are conflicts among several optimization objectives and functions. Through the efforts of researchers and experts from different fields for the last 30 years, the research and application of multi-objective evolutionary algorithms (MOEA) have made excellent progress in solving such problems. MOEA has become one of the primary used methods and technologies in the realm of multi-objective optimization. It is also a hotspot in the evolutionary computation research community. This survey provides a comprehensive investigation of MOEA algorithms that have emerged in recent decades and summarizes and classifies the classical MOEAs by evolutionary mechanism from the viewpoint of the search strategy. This paper divides them into three categories considering the search strategy of MOEA, i.e., decomposition-based MOEA algorithms, dominant relation-based MOEA algorithms, and evaluation index-based MOEA algorithms. This paper selects the relevant representative algorithms for a detailed summary and analysis. As a prospective research direction, we propose to combine the chaotic evolution algorithm with these representative search strategies for improving the search capability of multi-objective optimization algorithms. The capability of the new multi-objective evolutionary algorithm has been discussed, which further proposes the future research direction of MOEA. It also lays a foundation for the application and development of MOEA with these prospective works in the future.