In this article a new algorithm for multi-objective optimization is presented, the Multi-Objective Coral Reefs Optimization (MO-CRO) algorithm. The algorithm is based on the simulation of processes in coral reefs, such as corals' reproduction and fight for space in the reef. The adaptation to multi-objective problems is a process based on domination or non-domination during the process of fight for space in the reef. The final MO-CRO is an easily-implemented and fast algorithm, simple and robust, since it is able to keep diversity in the population of corals (solutions) in a natural way. The experimental evaluation of this new approach for multi-objective optimization problems is carried out on different multi-objective benchmark problems, where the MO-CRO has shown excellent performance in cases with limited computational resources, and in a real-world problem of wind speed prediction, where the MO-CRO algorithm is used to find the best set of features to predict the wind speed, taking into account two objective functions related to the performance of the prediction and the computation time of the regressor.