The combination of non-Hermitian physics and Majorana fermions can give rise to new effects in quantum transport systems. In this work, we investigate the interplay of PT-symmetric complex potentials, Majorana tunneling and interdot tunneling in a non-Hermitian double quantum dots system. It is found that in the weak-coupling regime the Majorana tunneling has pronounced effects on the transport properties of such a system, manifested as splitting of the single peak into three and a reduced 1/4 peak in the transmission function. In the presence of the PT-symmetric complex potentials and interdot tunneling, the 1/4 central peak is robust against them, while the two side peaks are tuned by them. The interdot tunneling only induces asymmetry, instead of moving the conductance peak, due to the robustness of the Majorana modes. There is an exceptional point induced by the union of Majorana tunneling and interdot tunneling. With increased PT-symmetric complex potentials, the two side peaks will move towards each other. When the exceptional point is passed through, these two side peaks will disappear. In the strong-coupling regime, the Majorana fermion induces a 1/4 conductance dip instead of the three-peak structure. PT-symmetric complex potentials induce two conductance dips pinned at the exceptional point. These effects should be accessible in experiments.