In order to solve the problem of difficult and time-consuming micro-site optimization of wind farms under complex terrain, a multi-objective optimization method for micro-site selection of wind farms with complex terrain assisted by proxy model is proposed. Firstly, considering the geographical features of complex terrain with large undulations, the ruggedness index is calculated, the ground flatness is numerically quantified, and the points with excessive ruggedness are constrained. Secondly, a mathematical model of three-dimensional windy downward wake superposition calculation of power generation is established, a three-dimensional terrain collector line topology optimization agent model is constructed, and the prediction accuracy of the proxy model is verified, which shows that it can replace a large number of calculations for collector line topology optimization and effectively improve the computing efficiency. Finally, taking a real complex terrain wind farm in Xinjiang, China as an example, multi-objective micro-site selection of complex terrain wind farm is realized, and the algorithm is compared with the single-objective optimization results. The simulation results show that the multi-objective discrete state transfer algorithm assisted by the proxy model can reduce the total cable laying length, reduce the investment in engineering construction, and provide more layout schemes for the actual project under the premise of optimizing the annual power generation.