Efficient best management practices (BMPs) must be both economically and technically feasible; however, designing adequate BMP planning by considering the trade-offs between efficacy and cost-effectiveness is considerably challenging for reducing the environmental impact of soil erosion. To comprehensively evaluate and screen the efficacy and cost-effectiveness of six selected BMPs, we integrated the entropy weight method with the calibrated Soil and Water Assessment Tool (SWAT) model. The results demonstrate that (i) the hybrid use of the SWAT model and the entropy weight method can affordably help refine existing and future BMPs. Watershed management plans should be adjusted according to the wet season and critical source areas (CSAs) because all BMPs show differences in the reduction efficiency of soil erosion under different hydrological seasons and CSAs. (ii) Agricultural BMPs and tree planting can effectively control soil erosion; the reduction rankings in the whole watershed were as follows: > 15° returning farmland to forest (32.16%), residue cover tillage (25.06%), strip tillage (16.43%), > 25° returning farmland to forest (8.96%), contour tillage (8.75%), and no tillage (3.18%). The reduction in soil erosion in the wet season was 17.62 times higher than that in the dry season. Priority and reasonable allocation of BMPs in the wet season can be made according to the timely situation and local conditions of the Yanhe River watershed. (iii) The reduction effects of various BMPs on soil erosion in different CSAs are different. The highest comprehensive evaluation index of both efficacy and cost-effectiveness among the six BMPs was scored by residue cover tillage, which we recommend to be popularized in CSAs of the Yanhe River watershed. In areas with different erosion intensities, strip tillage was also highly efficient, that is, the cost was low, and the reduction effect adequate; hence, it is also suitable for large-scale popularization. Some cultivated lands on the > 15° slope can be selectively returned to forest, supplemented by conservation tillage practices such as strip tillage, residue cover tillage, and contour tillage. The introduced framework can be adapted as a suitable tool for selecting cost-effective conservation practices in different regions by managing efficacy and cost trade-offs.