In reality, there are many multi-objective decision-making problems with fuzziness and uncertainty, such as the choice of clinical treatment schemes. To effectively cope with such problems, it is urgent to scientifically handle fuzzy and uncertain information. Given the fact that the Pythagorean fuzzy set is a useful tool to tackle fuzzy information, and the rough set theory is superior in dealing with uncertain data, this paper aims to establish a novel decision-making method for scheme selection from the perspective of Pythagorean fuzzy rough sets. Pythagorean fuzzy numbers (PFNs) are first employed to express fuzzy preference information, and then multi-objective Pythagorean fuzzy information systems are introduced. Subsequently, we develop a new fuzzy rough set using an improved correlation coefficient method to deal with the uncertainty of PFNs. Furthermore, considering the diversified weights, we present a weight calculation method based on approximate accuracies. Meanwhile, a weighted fuzzy rough set model is constructed to achieve multi-objective information fusion. Accordingly, a multi-objective decision-making method is put forward with the help of overlap functions. Finally, we apply the built method to three cases from different decision scenarios to illustrate the applicability of the method. By some comparative analyses, the effectiveness and superiority of the method are also exhibited. Moreover, we discuss the establishment of decision support systems regarding scheme selection. On the whole, the work of this paper is helpful to support the solution of complex multi-objective decision-making problems.