The invention relates to a multi-objective integrated design and optimization control method for a comprehensive energy system, and belongs to the technical field of new energy power generation and energy storage. A system parameter optimization layer of the invention takes a maximized system electric energy conversion efficiency and a maximized system entropy efficiency as optimization objectives, and takes an output gas temperature and an expansion ratio of a compressed air energy storage system as optimization variables. A system capacity configuration optimization layer takes minimized system economic cost and minimized pollutant emission as the optimization objectives, and takes capacity configuration of a microturbine, a wind power generation system, a photovoltaic power generation system and a compressed air energy storage system as the optimization variables. Besides, a system operation control optimization layer takes minimized system operation cost, minimized SOC in the compressed air energy storage system, and minimized system relative energy consumption as the optimization objectives. A multi-objective genetic algorithm is adopted by the three layers for obtaining a Pareto optimal solution set, and energy efficiency, operation economic efficiency and new energy consumption level of the comprehensive energy system are improved through a fuzzy decision-making method.