A multi-criteria feature selection method-sequential multi-criteria feature selection algorithm (SMCFS) has been proposed for the applications with high precision and low time cost. By combining the consistency and otherness of different evaluation criteria, the SMCFS adopts more than one evaluation criteria sequentially to improve the efficiency of feature selection. With one novel agent genetic algorithm (chain-like agent GA), the SMCFS can obtain high precision of feature selection and low time cost that is similar as filter method with single evaluation criterion. Several groups of experiments are carried out for comparison to demonstrate the performance of SMCFS. SMCFS is compared with different feature selection methods using three datasets from UCI database. The experimental results show that the SMCFS can get low time cost and high precision of feature selection, and is very suitable for this kind of applications of feature selection.