The method of improving the performance of continuous-variable quantum key distribution protocols by post-selection has been recently proposed and verified. In continuous-variable measurement-device-independent quantum key distribution (CV-MDI QKD) protocols, the measurement results are obtained from untrusted third party Charlie. There is still not an effective method of improving CV-MDI QKD by the post-selection with untrusted measurement. We propose a method to improve the performance of coherent-state CV-MDI QKD protocol by non-Gaussian post-selection. The non-Gaussian post-selection of transmitted data is equivalent to an ideal photon subtraction on the two-mode squeezed vacuum state, which is favorable to enhance the performance of CV-MDI QKD. In CV-MDI QKD protocol with non-Gaussian post-selection, two users select their own data independently. We demonstrate that the optimal performance of the renovated CV-MDI QKD protocol is obtained with the transmitted data only selected by Alice. By setting appropriate parameters of the non-Gaussian post-selection, the secret key rate and tolerable excess noise are both improved at long transmission distance. The method provides an effective optimization scheme for the application of CV-MDI QKD protocols.