The mix proportion of multi-source coal-based solid waste (CSW) for underground backfilling affects transportation and support performance of backfill materials, and even the backfilling cost. In this study, the optimal mix proportion of desulfurization gypsum (DG), furnace bottom slag (FBS) and gasification fine slag (GFS) is determined by the Response Surface Methodology–Box Behnken Design (RSM-BBD). Then the fluidity, bleeding rate, 3-day strength, 7-day strength and preparation cost are evaluation indicators, the optimal mix proportion of backfill materials is determined by the multi-objective decision-making method (MDM). Finally, the microstructure of the backfill material with optimal mix proportion was studied by TGA, MIP, SEM–EDS and XRD. The results show that the mix proportion of CSW with the optimal comprehensive index is coal gangue (CG): coal fly ash (CFA): DG: FBS: GFS = 1:1.5:0.2:0.1:0.1, the mass concentration is 78%, and ordinary Portland cement (OPC)/CSW = 7.5%. The weight loss phenomenon of the backfill material with the optimal mix proportion occurs continuously during the heating process, mainly due to the evaporation of crystal water, structural water and hydroxyl water. There are dense narrow-necked pores in the backfill material, and the pore connectivity is poor. There is no hydration reaction occurs between CSW particles, and the strength increase of the backfill material mainly depends on the hydration reaction of cement. In ettringite, part of Al2O3 is replaced by SiO2, and part of CaSO4 is replaced by CaCO3. This study provides a reference for the engineering application of underground backfilling with multi-source CSW.