As one of the world's largest energy consumers, China has paid much attention to the development of non-fossil energy sources. The nuclear power is regarded as the top priority for development due to its remarkable ecological and economic advantages. Given the large investment, long lifecycle, and rigorous quality control, the conceptual design plays a critical role in the pressurized water reactor development. Multitudinous design alternatives are presented at this stage and it is essential to develop an advanced evaluation approach. Hence, this work proposes a multi-criteria decision-making approach for pressurized water reactor based on hesitant fuzzy-improved cumulative prospect theory and 2-additive fuzzy measure. Firstly, considering the inherent uncertainty and cognitive biases of nuclear power experts, cumulative prospect values are calculated for design alternatives by adopting dual prospect reference points and two-tuple entropy measure under a hesitant fuzzy environment. Secondly, a linear programming model based on bidirectional projection measures is constructed to eliminate the discordance between the independent criteria assumption and interdependent evaluation information. This model helps to identify optimal 2-additive fuzzy measures, which serve as the basis for determining the Shapley importance and interaction indices of evaluation criteria. Then, taking Shapley interaction indices modification into account, a quadratic programming model based on the global criterion method is built. Finally, 2-additive Choquet integral-based TOPSIS method is proposed to select the optimal design alternative. A case study on the essential service water system is implemented to demonstrate the reliability and superiority of the proposed approach.