Selective laser melting (SLM) is one of the most common additive manufacturing (AM) technologies that shows great potential for intelligent and clean manufacturing. The process parameters involved in the SLM process have a significant impact on the part quality and energy consumption during the printing process. Since the relationships between the process parameters and various part quality characteristics cannot be expressed explicitly, it is impractical to decide the optimal process parameters intuitively. In this work, a hybrid multi-objective optimization approach by combining the ensemble of metamodels (EM) and non-dominated sorting genetic algorithm-II (NSGA-II) is proposed to generate optimal process parameters to improve the energy consumption, the tensile strength, and the surface roughness of the as-built parts. First, the Taguchi experiment design is adopted and the corresponding SLM experiments are conducted to obtain the experimental results. Second, the correlations between the process parameters (i.e., laser power, layer thickness, scanning speed) and the three responses are fitted using the proposed EM. The comparative results show that the prediction ability of the EM outperforms the stand-alone metamodels. Then, the NSGA-II is used to search for multi-objective Pareto optimal solutions based on the constructed EM. Finally, the verification experiments were conducted to verify the optimal results obtained by the proposed multi-objective optimization approach. Results indicate that the optimal process parameters are effective and reliable. Besides, the main effects of process parameters on the responses are analyzed. Overall, the proposed hybrid multi-objective optimization method exhibits great ability to improve the effectiveness of SLM.