Most existing research focuses on a single objective for the distributed hybrid flowshop scheduling problem (DHFSP). This article focuses on a multi-objective DHFSP with sequence-dependent set-up time (DHFSP-SDST). A Q-learning multi-objective grey wolf optimizer (QMOGWO) is designed to optimize the makespan, total energy consumption and total tardiness. A mathematical model for DHFSP-SDST is established. Several initialization strategies and a random method are introduced to improve the quality of the initial population. The new individual is developed by the discrete solution updating mechanism of QMOGWO. Based on the Q-learning, local search strategies are designed to avoid local optima. To verify the performance of the proposed QMOGWO, different scales of instances are tested in various factories and at different stages, and the simulation results show that the QMOGWO outperforms the comparison methods.