The problem of coal compression under buildings is common in underground mining of coal mines in China. The selection of traditional mining programme is subjective and lacks scientific rationality. In order to solve this problem, this paper studies the evaluation index system and model applicable to the selection of coal filling mining scheme under buildings. A multi-objective evaluation index system integrating economic, technical and adaptive factors is constructed. And an integrated optimization model is established, which is based on the traditional grey target model, combining the game theory optimal combination of weights with the hierarchical analysis method, entropy weight method, Critic method to determine the weights, and then introducing the TOPSIS model and the Mars distance to establish an improved grey target decision-making model. The validity of the evaluation index system and model is verified by taking the example of coal mining under pressure of buildings in five mining areas of a coal mine, which provides technical support for decision makers. This study helps to scientifically and reasonably carry out the preferred mining scheme of coal filling under building pressure.