Pulse wave analysis (PWA) has been widely used in the medical field. A novel multi-channel sensor is employed in arterial pulse acquisition and brings richer physiological information to PWA. However, the noise of this sensor is distributed in the main frequency band of the pulse signal, which seriously interferes with subsequent analyses and is difficult to eliminate by existing methods. This study proposes a cross-channel dynamic weighting robust principal component analysis algorithm. A channel-scaled factor technique is used to manipulate the weighting factors in the nuclear norm. This factor can adaptively adjust the weights among the channels according to the signal pattern of each channel, optimizing the feature extraction in multi-channel signals. A series of performance evaluations were conducted, and four well-known de-noising algorithms were used for comparison. The results reveal that the proposed algorithm achieved one of the best de-noising performances in the time and frequency domains. The mean of h1 in the amplitude relative error (ARE) was 23.4% smaller than for the WRPCA algorithm. Moreover, our algorithm could accelerate convergence and reduce the computational time complexity by approximately 34.6%. These results demonstrate the performance and efficiency of the algorithm. Meanwhile, the idea can be extended to other multi-channel physiological signal de-noising and feature extraction fields.