In terms of the problem of Multi-Attribute Decision-Making (MADM) under the uncertain background, the interval grey number MADM method based on the prospect theory and Evidential Reasoning (ER) is put forward. Firstly, considering the property of interval grey number, an improved distance formula of interval grey number is developed. On this basis, taking the positive and negative ideal solutions as the reference point, the distance set between the attribute value and the positive and negative ideal solution is calculated. Secondly, the decision makers’ psychological risk factors are introduced into the interval grey number MADM to develop a prospect value function based on the improved distance formula. Thirdly, the alternatives are selected by ER and the comparison rule of interval numbers. Finally, an illustrative example shows that the proposed method has rationality and feasibility.