The notion of multi-scenario multi-objective optimization is proposed as a methodological framework for handling engineering design and other decision problems represented as a collection of multi-criteria optimization problems. Three specific research issues are discussed in this context, namely, the modelling of decision maker's preferences, the development of a concept of optimality, and the development of solution approaches to finding a preferred feasible solution for the overall problem. Two models of preferences that generalize the classical Pareto preference and two solution approaches to a class of multi-scenario multi-objective optimization problems are presented. Illustrative examples are included.